| 引用本文: | 易 昊,杨招军.均值回复收益的消费效用无差别定价[J].控制理论与应用,2009,26(5):494~498.[点击复制] |
| YI Hao,YANG Zhao-jun.Consumption-utility based pricing of payments following mean reversion[J].Control Theory and Technology,2009,26(5):494~498.[点击复制] |
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| 均值回复收益的消费效用无差别定价 |
| Consumption-utility based pricing of payments following mean reversion |
| 摘要点击 1600 全文点击 1699 投稿时间：2008-05-07 修订日期：2008-10-10 |
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| DOI编号 10.7641/j.issn.1000-8152.2009.5.005 |
| 2009,26(5):494-498 |
| 中文关键词 均值回复过程 本质风险 实物期权 最优控制 投资消费 |
| 英文关键词 mean-reverting process idiosyncratic risk real option optimal control investment and consumption |
| 基金项目 国家社科基金资助项目(06BJL022); 湖南大学 “985工程”哲学社会科学创新基地“经济开放与贸易发展”项目. |
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| 中文摘要 |
| 假设项目收益服从算术均值回复过程, 运用消费效用无差别定价原理, 得出决策者在非完备市场下最优投资消费策略以及最优目标函数, 与完备市场中项目收益波动率增加引起投资触发水平单方面增加所不同的是, 在非完备市场情形下还须考虑决策者的风险规避动机对投资决策的影响, 讨论了这一影响在一次性回报与现金流回报两种情形下的不同表现, 给出了相应解释, 指出了项目收益的均值回复速度与投资触发水平之间的相互变动关系. |
| 英文摘要 |
| Assuming payments of a project follow an arithmetic mean-reverting process, we provide an optimal strategy of investment and consumption，and the optimal object function in an incomplete market by using utility indifference pricing principle. Unlike the complete market in which an increase of volatility would merely raise the investment trigger,however, in the incomplete market the trigger is also influenced by investor’s precautionary motive. It is shown and explained that effects are different between lump sum payment and cash flow payment. Finally, the relationship between the investment trigger level and the mean-reverting coefficient is discussed. |