Optimal consumption and portfolio choice with ambiguity and anticipation

被引：23
|
作者：
Fei, Weiyin [1 ]
机构：
[1] Anhui Univ Technol & Sci, Dept Appl Math, Wuhu 241000, Anhui, Peoples R China
来源：
INFORMATION SCIENCES | 2007年 / 177卷 / 23期
基金：
安徽省自然科学基金;
关键词：
ambiguity; recursive multiple-priors utility; anticipation; optimal consumption and portfolio; enlargement of filtrations; malliavin derivatives;
D O I：
10.1016/j.ins.2006.07.028
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper, adopting the recursive multiple-priors utility, studies the optimal consumption and portfolio choice in a Merton-style model with anticipation when there is a difference between ambiguity and risk. The fundamental issue is what the effects of ambiguity and anticipation on the investor's behavior are. In the case of a logarithmic felicity function, the paper also shows that no hedging demand arises that is affected by both ambiguity and anticipation. Finally, the optimal portfolio is derived in terms of Malliavin derivatives and stochastic integrals. (C) 2006 Elsevier Inc. All rights reserved.
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页码：5178 / 5190
页数：13
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