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首页> 外文期刊>Journal of Virological Methods >Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
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Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

机译：具有流动性风险的最佳消费和投资策略，马尔可夫政权切换跳跃扩散模型的流动性风险和寿命不确定性

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摘要

In this paper, we consider the optimal consumption and investment strategies for households throughout their lifetime. Risks such as the illiquidity of assets, abrupt changes of market states, and lifetime uncertainty are considered. Taking the effects of heritage into account, investors are willing to limit their current consumption in exchange for greater wealth at their death, because they can take advantage of the higher expected returns of illiquid assets. Further, we model the liquidity risks in an illiquid market state by introducing frozen periods with uncertain lengths, during which investors cannot continuously rebalance their portfolios between different types of assets. In liquid market, investors can continuously remix their investment portfolios. In addition, a Markov regime-switching process is introduced to describe the changes in the market's states. Jumps, classified as either moderate or severe, are jointly investigated with liquidity risks. Explicit forms of the optimal consumption and investment strategies are developed using the dynamic programming principle. Markov chain approximation methods are adopted to obtain the value function. Numerical examples demonstrate that the liquidity of assets and market states have significant effects on optimal consumption and investment strategies in various scenarios. (C) 2019 Elsevier B.V. All rights reserved.
机译：在本文中，我们考虑了整个终身家庭的最佳消费和投资策略。考虑了诸如资产的过度，市场状态的变化以及寿命不确定性等风险。承担遗产的影响考虑，投资者愿意限制他们目前的消费，以换取他们的死亡更大的财富，因为他们可以利用不足资产的更高的预期回报。此外，我们通过引入不确定的长度的冻结期，在不确定的时间内引入了冻结期，在此期间，投资者不能在不同类型资产之间不断重新平衡他们的投资组合。在液体市场中，投资者可以不断混合投资组合。此外，还引入了马尔可夫政权切换过程来描述市场各州的变化。跳跃，归类为中等或严重，共同调查流动性风险。使用动态编程原理开发了明确形式的最佳消费和投资策略。采用马尔可夫链近似方法获得价值函数。数值例子表明，资产和市场状态的流动性对各种情况下最佳消费和投资策略具有显着影响。 （c）2019年Elsevier B.V.保留所有权利。

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