居民最优消费与投资组合——基于不完全市场的分析

彭  涓1; 杨金强2; 刘泽华3; 赵思琦2

居民最优消费与投资组合——基于不完全市场的分析

引用本文：彭涓1，杨金强2，刘泽华3，赵思琦2.居民最优消费与投资组合——基于不完全市场的分析[J].财经理论与实践,2021,(6):75-81

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作者	单位
彭涓1，杨金强2，刘泽华3，赵思琦2	（1．华东政法大学商学院，上海 201620； 2．上海财经大学金融学院，上海 200433 3．纽约理工大学管理学院，纽约 10023）

中文摘要:运用动态最优控制理论与随机金融分析方法，研究由劳动收入的特质风险与借贷约束导致的非完全市场对消费者最优投资和消费策略、波动及福利损失的影响，得到相应的动态最优投资和消费策略。研究发现：非完全市场会显著抑制消费者的消费动机和投资动机，并加剧消费波动和投资波动。此外，财务困境下非完全市场会对消费者造成高达40%的福利损失。

中文关键词:特质风险非完全市场投资组合借贷约束

Optimal Consumption and Portfolio Allocation under Incomplete Market

Abstract:Using the standard dynamic control theory and stochastic financial analysis method, this paper investigates the effects of incomplete market caused by idiosyncratic risk and borrowing constraints of labor income on agent's optimal portfolio allocation and consumption strategy, volatility and welfare loss, the corresponding optimal investment and consumption strategies is obtained. The results show that the incomplete market will significantly reduce the agent's consumption motivation and induce under-investment, and raise the consumption volatility and investment volatility. In addition, it predicts that the welfare loss of agents due to incomplete market under financial distress is as high as 40%.

keywords:idiosyncratic risk incomplete market portfolio allocation borrowing constraint

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