论文标题
风险能力限制下的投资组合选择问题
A Portfolio Choice Problem Under Risk Capacity Constraint
论文作者
论文摘要
本文研究了面临寿命风险和生活标准风险的退休人员的最佳投资问题。我们将投资问题作为投资组合选择问题，在随着时变的风险限制下。我们根据二阶普通微分方程在模型参数的特定条件下得出了最佳投资策略。我们展示了一个内源性数量，该数字可以衡量预期价值以维持退休后的支出。如果投资组合的价值高于此数字，那么最佳投资组合几乎对股票市场运动几乎是中立的。但是，如果投资组合的价值不足以维持退休支出，那么退休人员会积极投资股票市场以获得更高的预期收益。此外，我们解决了在杠杆限制下的最佳投资组合选择问题，并表明最佳投资组合将在压力的市场中大大损失。本文表明，随时间变化的风险限制对退休中的资产分配具有重要意义。
This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the optimal investment strategy under the specific condition on model parameters in terms of second-order ordinary differential equations. We demonstrate an endogenous number that measures the expected value to sustain the spending post-retirement. The optimal portfolio is nearly neutral to the stock market movement if the portfolio's value is higher than this number; but, if the portfolio is not worth enough to sustain the retirement spending, the retiree actively invests in the stock market for the higher expected return. Besides, we solve an optimal portfolio choice problem under a leverage constraint and show that the optimal portfolio would lose significantly in stressed markets. This paper shows that the time-varying risk capacity constraint has important implications for asset allocation in retirement.
