基于双曲折现的跨期消费和投资组合的一种解析
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引用本文:陈前达1,杨湘豫2.基于双曲折现的跨期消费和投资组合的一种解析[J].经济数学,2017,(4):106-110
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陈前达1,杨湘豫2 (1.湖南大学 金融与统计学院,湖南 长沙 4100062.湖南大学 数学与计量经济学院湖南 长沙 410082) 
中文摘要:通过在默顿(1969年,1971年) 的经典模型中引入Harris和Laibson (2013年)的随机双曲偏好,研究得到了针对常绝对风险厌恶效用函数的最优消费和投资组合的解析解.与默顿的结果相比,发现消费与财富尽管仍有线性关系,但其比例再也不是一个常数.投资于风险资产的比例也非固定常数,但投资于风险资产的总价值保持不变.
中文关键词:双曲折现  跨期消费  投资组合
 
An Analysis of Cross Period Consumption and Investment Portfolio Based on Hyperbolic Discounting
Abstract:By introducing stochastic hyperbolic preference of Harris and Laibson (2013) in the classical model of Merton (1969, 1971),the analytical solution of optimal consumption and portfolio on the constant absolute risk aversion utility function was obtained.Compared with the results of Merton, we find that consumption and wealth even though is still a linear relationship, but its ratio is not a constant. The ratio of investment to the risk assets is also not fixed, but the total value of the investment in the risky assets remains unchanged.
keywords:hyperbolic discounting  cross period consumption  investment portfolio
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