考虑损失厌恶的最优消费投资决策

行为金融文献表明,投资者效用既取决于消费,又取决于其持有的金融资产的价值变化.基于上述两点,研究了最优消费投资问题.将行为金融学中投资者损失厌恶这一重要心理纳入经典效用函数,给出了基于消费和风险资产价值变化的目标效用函数,建立了考虑投资者损失厌恶的最优消费投资模型,运用动态规划原理得到了最优消费和投资问题的值函数及最优消费投资策略.最后以一个两期最优消费投资算例说明该模型的应用.因考虑了投资者实际决策心理,建立的最优决策模型是对投资者实际决策行为的良好描述,由此得出的最优消费投资策略也可以更好地指导投资者消费投资行为.

Optimal Consumption and Investment Strategies with Loss Aversion

An optimal consumption and investment strategies are proposed,in which the investor derives the direct utility from not only the consumption but also the change in the value of his financial assets.Incorporating the loss aversion which is an important investor psychology into the classical utility function,an objective utility function based on the consumption and the change in the value of investor's financial assets is given.Then,an optimal consumption/investment model is set up with loss aversion taken into consideration,thus giving the value function and optimal consumption/investment strategies on the basis of dynamic programming theory.An additional dual-period model of consumption/investment is also given to show how to use the model as above.Taking the real investor psychology into account,the model reflects more exactly the investor decision,thus the optimal consumption/investment strategies derived from it will lead the investment to higher utility.