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Optimal consumption-leisure, portfolio and retirement selection based on α-maxmin expected CES utility with ambiguity

查看全文 作　　者：FEI Wei-[1]yin 高影响力作者 机构地区：[1]School of Mathematics and Physics,Anhui Polvtechnic University,Wuhu 241000,China高影响力机构 出　　处：《Applied Mathematics(A Journal of Chinese Universities)》索引2012年第27卷第4期,共20页高影响力期刊 基　　金：Supported by National Natural Science Foundation of China (71171003, 71271003);Programming Fund Project of the Humanities and Social Sciences Research of the Ministry of Education of China (12YJA790041);Anhui Natural Science Foundation (090416225, 1208085MG116);Anhui Natural Science Foundation of Universities (KJ2010A037, KJ2010B026) 摘　　要：This article studies optimal consumption-leisure, portfolio and retirement selection of an infinitely lived investor whose preference is formulated by α-maxmin expected CES utility which is to differentiate ambiguity and ambiguity attitude. Adopting the recursive multiple-priors utility and the technique of backward stochastic differential equations (BSDEs), we transform the α-maxmin expected CES utility into a classical expected CES utility under a new probability measure related to the degree of an investor's uncertainty. Our model investigates the optimal consumption-leisure-work selection, the optimal portfolio selection, and the optimal stopping problem. In this model, the investor is able to adjust her supply of labor flexibly above a certain minimum work-hour along with a retirement option. The problem can be analytically solved by using a variational inequality. And the optimal retirement time is given as the first time when her wealth exceeds a certain critical level. The optimal consumption-leisure and portfolio strategies before and after retirement are provided in closed forms. Finally, the distinctions of optimal consumption-leisure, portfolio and critical wealth level under ambiguity from those with no vagueness are discussed. 关 键 词：CES 投资者 组合和 消费 休闲 退休 歧义 投资组合选择
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