基于随机双曲折现的投资消费及效用无差别定价
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引用本文:杨招军, 罗鹏飞.基于随机双曲折现的投资消费及效用无差别定价[J].经济数学,2015,(1):6-9
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作者单位
杨招军, 罗鹏飞 (湖南大学 金融与统计学院 湖南 长沙 410079) 
中文摘要:在随机双曲折现条件下,显式地给出了具有指数函数(CARA)效用的最优跨期消费与投资组合;在非完备市场下,显式给出了基于CARA效用的收益流的效用无差别价格.结果表明:最优投资比例以及收益流的价值不受随机双曲折现因子的影响;在低折扣阶段,本文的最优消费水平高于Merton模型下的对应值,低折扣时期越短或高低折扣值相差越大,消费差距越明显.
中文关键词:随机双曲折现  投资消费  效用无差别定价
 
Investment, Consumption and Utility-based Indifference Pricing with Stochastic Hyperbolic Discounting
Abstract:We explicitly derive the optimal intertemporal consumption and investment with stochastic hyperbolic discounting for a constant absolute risk aversion (CARA) investor. After that, we explicitly present the utility-based indifference price of cashflows received by the investor. We find that the optimal investment and indifference price do not depend on the discount factor but during the low discounting period, the optimal consumption is more than that under Merton model. The shorter the low discounting period or the bigger the difference between the high and low discount factor, the more obvious the distinction between the two optimal consumptions.
keywords:stochastic hyperbolic discounting  investment and consumption  utility-based indifference pricing
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