论文标题
在骑士不确定性下以跨期替代的最佳消费
Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty
论文作者
论文摘要
我们研究了骑士不确定性下的跨颞消费和投资组合选择问题，在这种不确定性中，代理人的偏好表现出局部跨期替代。我们还允许市场摩擦，从某种意义上说，定价功能是非线性的。我们证明了最佳消费计划的存在和独特性，并得出了一组足够的一阶条件以实现最佳状态。借助向后方程，我们能够确定最佳消费计划的结构。我们在固定环境中获得明确的解决方案，在固定环境中，金融市场在短期和长位置上具有不同的风险溢价。
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing functional is nonlinear. We prove existence and uniqueness of the optimal consumption plan, and we derive a set of sufficient first-order conditions for optimality. With the help of a backward equation, we are able to determine the structure of optimal consumption plans. We obtain explicit solutions in a stationary setting in which the financial market has different risk premia for short and long positions.
