Knight不确定下考虑负效用的消费和投资问题研究∗

摘要

This paper studies an agent’s consumption-portfolio and retirement problem, in which the Knightian uncertainty and utility loss from labor are considered. The labor behavior brings an agent’s utility loss, while the Knightian uncertainty influences the decision-making behavior of an agent. The agent has a retirement option. By retirement, she avoids the utility loss but gives up labor income. Using the dynamic programming method to solve a free boundary value problem, we obtain an explicit solution for the agent’s optimal consumption and portfolio strategy.%　　本文研究了经济代理人在劳动负效用情形下，考虑Knight不确定的消费和投资与退休选择问题。劳动则会带来代理人的效用损失，而Knight不确定将影响决策行为。代理人有权利选择退休。退休行为使得代理人避免了效用损失，却必须要放弃工资收入。本文利用动态规划方法解自由边值问题，得到了代理人最优消费和投资组合策略的显式解。