In this article, the authors consider the optimal portfolio on tracking the expected wealth process with liquidity constraints. The constrained optimal portfolio is first formulated as minimizing the cumulate variance...In this article, the authors consider the optimal portfolio on tracking the expected wealth process with liquidity constraints. The constrained optimal portfolio is first formulated as minimizing the cumulate variance between the wealth process and the expected wealth process. Then, the dynamic programming methodology is applied to reduce the whole problem to solving the Hamilton-Jacobi--Bellman equation coupled with the liquidity constraint, and the method of Lagrange multiplier is applied to handle the constraint. Finally, a numerical method is proposed to solve the constrained HJB equation and the constrained optimal strategy. Especially, the explicit solution to this optimal problem is derived when there is no liquidity constraint.展开更多
We study the impact of the COVID-19 pandemic shock on household consumption in China.Using household survey data,we find that the proportion of liquidity-constrained households increases quickly,but the constraint lev...We study the impact of the COVID-19 pandemic shock on household consumption in China.Using household survey data,we find that the proportion of liquidity-constrained households increases quickly,but the constraint levels vary across distinct groups.We build a heterogeneous agent life cycle incomplete market model to analyze the long-run and short-run effects of the pandemic shock.The quantitative results reveal a slow recovery of consumption due to three reasons:hiking unemployment rate,declining labor productivity,and worsening income stability.The hiking unemployment rate plays the key role in households,consumption reduction since it simultaneously leads to a negative income effect and upsurging precautionary saving motives.Our paper highlights the importance of maintaining a stable labor market for faster recovery.展开更多
基金Supported in part by the National Natural ScienceFoundation of China (10671149)the Ministry of Education of China (NCET-04-0667)
文摘In this article, the authors consider the optimal portfolio on tracking the expected wealth process with liquidity constraints. The constrained optimal portfolio is first formulated as minimizing the cumulate variance between the wealth process and the expected wealth process. Then, the dynamic programming methodology is applied to reduce the whole problem to solving the Hamilton-Jacobi--Bellman equation coupled with the liquidity constraint, and the method of Lagrange multiplier is applied to handle the constraint. Finally, a numerical method is proposed to solve the constrained HJB equation and the constrained optimal strategy. Especially, the explicit solution to this optimal problem is derived when there is no liquidity constraint.
基金the financial support from the National Natural Science Foundation of China(No.7180311&No.71874105)the financial support from the National Natural Science Foundation of China(71850002).
文摘We study the impact of the COVID-19 pandemic shock on household consumption in China.Using household survey data,we find that the proportion of liquidity-constrained households increases quickly,but the constraint levels vary across distinct groups.We build a heterogeneous agent life cycle incomplete market model to analyze the long-run and short-run effects of the pandemic shock.The quantitative results reveal a slow recovery of consumption due to three reasons:hiking unemployment rate,declining labor productivity,and worsening income stability.The hiking unemployment rate plays the key role in households,consumption reduction since it simultaneously leads to a negative income effect and upsurging precautionary saving motives.Our paper highlights the importance of maintaining a stable labor market for faster recovery.
