A Risk Extended Version of Merton?s Optimal Consumption andPortfolio Selection

• 成果类型: Article
• 署名作者: Bensoussan, Alain; Hoe, SingRu (Celine); Kim, Joohyun; Yan, Zhongfeng
• 署名单位: University of Texas System; University of Texas Dallas; City University of Hong Kong; Texas A&M University System; Jinan University
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2021.2197
• 发表日期: 2022
• 页码: 815-829
• 关键词: variance portfolio selection; Value-at-risk; optimization; INVESTMENT; policies; MODEL

摘要

The objective of this paper is to study the optimal consumption and portfoliochoice problem of risk-controlled investors who strive to maximize total expected discountedutility of both consumption and terminal wealth. Risk is measured by the variance of terminalwealth, which introduces a nonlinear function of the expected value into the control problem.The control problem presented is no longer a standard stochastic control problem but rather,ameanfield-type control problem. The optimal portfolio and consumption rules are obtainedexplicitly. Numerical results shed light on the importance of controlling variance risk. The op-timal investment policy is nonmyopic, and consumption is not sacrificed.