This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek model.The financial market is composed of one riskfree asset and one risky asset,in...This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek model.The financial market is composed of one riskfree asset and one risky asset,in which stock price dynamics is assumed to be generally correlated with interest rate dynamics.The aim is to maximize expected utility of consumption and terminal wealth in the finite horizon.Legendre transform is used to deal with this investment and consumption problem and the explicit solutions of the optimal investment and consumption strategies with power and logarithm preference are achieved.Finally,the authors add a numerical example to analyze the effect of market parameters on the optimal investment and consumption strategy and provide some economic implications.展开更多
In today＇s economic situation, overcapacity of Chinese traditional manufacturing industry poses a serious threat to sustaineck rapid and healthy development of economy. The primary reasons of excess capacity of Chine...In today＇s economic situation, overcapacity of Chinese traditional manufacturing industry poses a serious threat to sustaineck rapid and healthy development of economy. The primary reasons of excess capacity of Chinese traditional manufacturing industry are the discordant between consumption and investment, the irrational industrial structure, export is not ideal and other causes. Overcapacity of traditional manufacturing industry will lead to business failures, unemployment citizen, deflation, financial risk and other series consequences. We should learn from foreign experience in the processing of excess capacity of traditional manufacturing industry and deal with excess capacity of traditional manufacturing industry in different aspects, so as to ensure stable and healthy development of our country＇ s economy.展开更多
This paper studies a problem of optimal investment and consumption with early retirement option under constant elasticity variation(CEV)model with finite horizon.Two risky assets are involved in the model with one fol...This paper studies a problem of optimal investment and consumption with early retirement option under constant elasticity variation(CEV)model with finite horizon.Two risky assets are involved in the model with one following geometric Brownian motion and the other a CEV model.This problem is a kind of two dimensional mixed control and optimal stopping problems with finite horizon.The existence and continuity of the optimal retirement threshold surfaces are proved and the working and retirement regions are characterized theoretically.Least-squares Monte-Carlo methods are developed to solve this mixed control and optimal stopping problem.The algorithms are well implemented and the optimal retirement threshold surfaces,optimal investment strategies and the optimal consumptions are drawn via examples.展开更多
基金supported by the Humanities and Social Science Research Youth Foundation of Ministry of Education of China under Grant No.11YJC790006Center for Research of Regulation and Policy of Zhejiang Province of China under Grant No.13JDGZ03YB+1 种基金the project of National Statistical Science of China under Grant No.2013LY125the Higher School Science and Technology Development Foundation of Tianjin of China under Grant No.20100821
文摘This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek model.The financial market is composed of one riskfree asset and one risky asset,in which stock price dynamics is assumed to be generally correlated with interest rate dynamics.The aim is to maximize expected utility of consumption and terminal wealth in the finite horizon.Legendre transform is used to deal with this investment and consumption problem and the explicit solutions of the optimal investment and consumption strategies with power and logarithm preference are achieved.Finally,the authors add a numerical example to analyze the effect of market parameters on the optimal investment and consumption strategy and provide some economic implications.
文摘In today＇s economic situation, overcapacity of Chinese traditional manufacturing industry poses a serious threat to sustaineck rapid and healthy development of economy. The primary reasons of excess capacity of Chinese traditional manufacturing industry are the discordant between consumption and investment, the irrational industrial structure, export is not ideal and other causes. Overcapacity of traditional manufacturing industry will lead to business failures, unemployment citizen, deflation, financial risk and other series consequences. We should learn from foreign experience in the processing of excess capacity of traditional manufacturing industry and deal with excess capacity of traditional manufacturing industry in different aspects, so as to ensure stable and healthy development of our country＇ s economy.
基金supported by the National Natural Science Foundation of China(Grant No.12071373)by the Fundamental Research Funds for the Central Universities of China(Grant No.JBK1805001)+1 种基金The work of J.Xing was supported by the National Natural Science Foundation of China(Grant No.12101151)by the Guizhou Key Laboratory of Big Data Statistical Analysis(Grant No.[2019]5103).
文摘This paper studies a problem of optimal investment and consumption with early retirement option under constant elasticity variation(CEV)model with finite horizon.Two risky assets are involved in the model with one following geometric Brownian motion and the other a CEV model.This problem is a kind of two dimensional mixed control and optimal stopping problems with finite horizon.The existence and continuity of the optimal retirement threshold surfaces are proved and the working and retirement regions are characterized theoretically.Least-squares Monte-Carlo methods are developed to solve this mixed control and optimal stopping problem.The algorithms are well implemented and the optimal retirement threshold surfaces,optimal investment strategies and the optimal consumptions are drawn via examples.
