非流动性市场中的跨期最优消费和投资策略

本文在Merton跨期最优消费和资产组合的理论框架内引入非流动性资产,构造了一个三资产的连续时间经济模型,探讨流动性约束对投资者最优消费和投资决策的影响。本文用动态规划方法给出了跨期优化问题的解析解。数值分析表明对投资者而言,非流动性资产的真实价值低于其市值,必须引入影子价格来刻划这种流动性效应;流动性约束降低了投资者的福利,并且显著地影响到投资者的消费和投资策略。

Intertemporal Optimal Consumption and Portfolio Selection in an Illiquid Market

This article incorporates an illiquid asset in theframe of Merton's classic theory on intertemporal optimal consumption and portfolio selection. In this paper we develop a 3-asset finite-horizon continuous time model to explore impacts of illiquidity on the restricted investor's optimal consumption and invest ment decisions. An analytical solution is given using the standard dynamic programming approach. The numerical analysis demonstrates that the true value of the illiquid asset to the investor is less than its mar ket value, and the shadow price is needed to reflect this liquidity effect. Moreover, the liquidity constraint decreases the investor's welfare and affects his consumption and investment strategies significantly.