论文标题
随着时间和状态依赖风险的选择
Mean-variance-utility portfolio selection with time and state dependent risk aversion
论文作者
论文摘要
在均值变化 - 实用性框架下，我们提出了一种新的投资组合选择模型，该模型允许财富和时间都对投资过程中的风险厌恶产生影响。我们在游戏理论框架下解决了该模型，并通过分析得出了均衡投资（消费）策略。结果符合以下事实：最佳投资策略在很大程度上取决于投资者的财富和未来的收入消除余额以及持续的最佳消费过程高度取决于投资者的消费偏好。
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.
