.png){kind=icon}
返回
Consumption and portfolio optimization solvable problems with recursive preferences
.png){kind=icon}
PRE
AI
DOI：10.1016/j.cnsns.2025.108675.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
This paper considers the consumption and portfolio optimization problems with recursive preferences in both infinite and finite time regions, in which the financial market consists of a risk-free asset and a risky asset following a general stochastic volatility process. By using Bellman's dynamic programming principle, the Hamilton-Jacobi-Bellman (HJB) equation is derived for characterizing the optimal consumption-investment strategy and the corresponding value function. Based on the conjecture of the exponential-polynomial form of the value function under mild conditions, we prove that, when the order of the polynomial n <= 2, the HJB equation has an analytical solution if the investor with unit elasticity of intertemporal substitution and an approximate solution by the log-linear approximation method otherwise. We also prove that the HJB equation has no solutions under the conjecture of the exponential-polynomial form of the value function when the order of the polynomial n > 2. Finally, the optimal consumption- portfolio strategies to Heston's model are provided and some numerical experiments are given to illustrate the behavior of the optimal consumption-portfolio strategies.
Keyword:
Stochastic volatility
Consumption and investment
Recursive preferences
HJB equation
Heston's model
期刊
IF:
3.8
论文数:
9.2K
被引数:
1.8W
机构
引用论文
.png){kind=icon}
分享收藏
查看更多内容