OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES

被引：30

作者：

Bensoussan, Alain ^{[1
]}

Keppo, Jussi ^{[2
]}

Sethi, Suresh P. ^{[3
]}

机构：

[1] Univ Texas Dallas, Sch Management, Int Ctr Decis & Risk Anal, Dallas, TX 75799 USA

[2] Univ Michigan, Ann Arbor, MI 48109 USA

[3] Univ Texas Dallas, Dallas, TX 75230 USA

来源：

MATHEMATICAL FINANCE | 2009年 / 19卷 / 02期

基金：

美国国家科学基金会;

关键词：

optimal consumption and investment; inflation; stochastic control with partial observations; separation principle; Zakai equation; DYNAMIC ASSET ALLOCATION; RISK-AVERSION; UNCERTAINTY; INFLATION; DEMAND; ILLUSION;

D O I：

10.1111/j.1467-9965.2009.00362.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We consider optimal consumption and portfolio investment problems of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes the basket price and (ii) when he receives only noisy observations on the basket price. We derive the optimal policies and show that a modified Mutual Fund Theorem consisting of three funds holds in both cases. The compositions of the funds in the two cases are the same, but in general the investor's allocations of his wealth into these funds will differ. However, in the particular case when the investor has constant relative risk-aversion (CRRA) utility, his optimal investment allocations into these funds are also the same in both cases.

引用

页码：215 / 236

页数：22

共 35 条

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