论文标题
在财富驱动风险规避下的最佳消费投资选择
Optimal consumption-investment choices under wealth-driven risk aversion
论文作者
论文摘要
在各种经济学模型中通常可以看到风险厌恶系数是常数的CRRA效用。但是以财富驱动的风险规避很少出现在投资者的投资问题中。本文主要集中于在通过神经网络所做的财富驱动厌恶下的最佳消费评估选择上的数值解决方案。跳跃扩散模型用于模拟神经网络训练所需的人造数据。 WDRA模型是为了描述投资问题的建立，并且有两个参数需要优化，这是在投资时间范围内风险资产和消费的财富投资率。在此模型下，实施具有一个目标功能的神经网络LSTM并显示出令人鼓舞的结果。
CRRA utility where the risk aversion coefficient is a constant is commonly seen in various economics models. But wealth-driven risk aversion rarely shows up in investor's investment problems. This paper mainly focus on numerical solutions to the optimal consumption-investment choices under wealth-driven aversion done by neural network. A jump-diffusion model is used to simulate the artificial data that is needed for the neural network training. The WDRA Model is set up for describing the investment problem and there are two parameters that require to be optimized, which are the investment rate of the wealth on the risky assets and the consumption during the investment time horizon. Under this model, neural network LSTM with one objective function is implemented and shows promising results.
