Knight不确定下考虑负效用的消费和投资问题研究

Optimal Consumption-Portfolio and Retirement Problem with Disutility under Knightian Uncertainty

本文研究了经济代理人在劳动负效用情形下,考虑Knight不确定的消费和投资与退休选择问题.劳动则会带来代理人的效用损失,而Knight不确定将影响决策行为.代理人有权利选择退休.退休行为使得代理人避免了效用损失,却必须要放弃工资收入.本文利用动态规划方法解自由边值问题,得到了代理人最优消费和投资组合策略的显式解.

This paper studies an agent＇s consumption-portfolio and retirement problem,in which the Knightian uncertainty and utility loss from labor are considered.The labor behavior brings an agent＇s utility loss,while the Knightian uncertainty in？uences the decision-making behavior of an agent.The agent has a retirement option.By retirement,she avoids the utility loss but gives up labor income.Using the dynamic programming method to solve a free boundary value problem,we obtain an explicit solution for the agent＇s optimal consumption and portfolio strategy.