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基于长期风险视角的最优消费和投资选择研究
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TitleOptimal consumption and portfolio choice in the presence of long-run risk  
作者王治政 吴卫星  
AuthorWang Zhizheng and Wu Weixing  
作者单位对外经济贸易大学金融学院 
OrganizationResearch Center for Applied Finance,School of Banking and Finance, University of International Business 
作者Emailxnjrong@nwsuaf.edu.cn;Wxwu@uibe.edu.cn 
中文关键词风险规避 跨期替代弹性 股权溢价 消费财富比 
Key WordsRisk Aversion; Elasticity of Intertemporal Substitution; Equity Premium; Consumption-wealth Ratio  
内容提要预期消费增长率相关的冲击在近期学术研究中被当作长期风险应用到资产定价研究中,一定程度上解释了股权溢价问题。假设代表性投资者服从递归偏好形式,在预算约束下做出最优消费和投资选择,我们推导出了最优消费财富比和投资选择的逼近解析解。围绕不同的风险规避系数和跨期替代弹性取值,通过参数校准我们发现,当风险规避系数和跨期替代弹性都较大时,市场上的无风险利率较小但风险溢价较高,夏普比率和HJ边界也处于较大值。投资者的消费策略对风险规避系数和跨期替代弹性非常敏感,对于较高的风险规避系数和跨期替代弹性组合,或者对于较低的风险规避系数和跨期替代弹性组合,投资者的最优消费财富比率较高,相反,投资者的消费财富比率较低。投资者的风险资产总需求可以分解为捕捉风险溢价的短视需求和捕捉对冲跨期风险的对冲需求,风险资产总需求随着风险规避系数的上升而增加,随着跨期替代弹性的上升呈先增后减的走势。 
AbstractIn recent academic research, the shock to expected consumption growth rate is labeled as long-run risk, and has been applied to asset pricing study. To some extent, long-run risk explains the equity premium. This paper presents an approximate analytical solution to the optimal consumption and portfolio allocation for infinite-lived investors who has the recursive utility in the presence of long-run risk. Using the calibration parameters and centering the different values of RRA and EIS, we find that when the coefficient of relative risk aversion (RRA) and elasticity of intertemporal substitution (EIS) are larger, there are the smaller risk-free interest rate, but higher risk premium, the bigger Sharpe ratio and HJ border in the market. The consumption rules of investor are very sensitive to EIS and RRA. The consumption-wealth ratio of investor is higher for the combination of higher EIS and RRA, or of lower EIS and RRA. On the contrary, the consumption-wealth ratio is lower. Total demand of risk assets can be divided into myopic demand capturing a risk premium and hedging demand capturing the intertemporal risk. The total demand of risk asset increases with increasing RRA, but show the trend of first increase after reduction with a rise in EIS. 
文章编号WP837 
登载时间2015-03-17 
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