消费(社会学)
经济
风险厌恶(心理学)
文件夹
差异(会计)
偏爱
时间偏好
投资(军事)
微观经济学
选择(遗传算法)
默顿投资组合问题
期望效用假设
动态不一致
投资策略
计量经济学
投资组合优化
数理经济学
金融经济学
复制投资组合
计算机科学
人工智能
社会学
利润(经济学)
会计
法学
政治
社会科学
政治学
作者
Bohan Yang,Xin‐Jiang He,Song‐Ping Zhu
出处
期刊:Cornell University - arXiv
日期:2020-07-10
摘要
Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment. We solved the model under a game theoretic framework and analytically derived the equilibrium investment (consumption) policy. The results conform with the facts that optimal investment strategy heavily depends on the investor's wealth and future income-consumption balance as well as the continuous optimally consumption process is highly dependent on the consumption preference of the investor.
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