基于随机双曲折现的投资消费及效用无差别定价∗

摘要

在随机双曲折现条件下，显式地给出了具有指数函数(CARA)效用的最优跨期消费与投资组合；在非完备市场下，显式给出了基于 CARA 效用的收益流的效用无差别价格。结果表明：最优投资比例以及收益流的价值不受随机双曲折现因子的影响；在低折扣阶段，本文的最优消费水平高于 Merton 模型下的对应值，低折扣时期越短或高低折扣值相差越大，消费差距越明显。%We explicitly derive the optimal intertemporal consumption and investment with stochastic hyperbolic dis-counting for a constant absolute risk aversion (CARA)investor.After that,we explicitly present the utility-based indifference price of cashflows received by the investor.We find that the optimal investment and indifference price do not depend on the dis-count factor but during the low discounting period,the optimal consumption is more than that under Merton model.The shor-ter the low discounting period or the bigger the difference between the high and low discount factor,the more obvious the dis-tinction between the two optimal consumptions.