论文标题
使用消费卫生实用程序和借用约束的最佳消费模型的价值函数的平稳性
Smoothness of the Value Function for Optimal Consumption Model with Consumption-Wealth Utility and Borrowing Constraint
论文作者
论文摘要
本文研究了瞬时效用依赖消费和财富的投资者的最佳消费评估问题，并且投资者面临的一般借贷限制，即风险资产中的投资金额不超过财富的外在功能。我们表明，该值函数是二阶平滑的，并以反馈形式呈现了最佳的消费策略。此外，当冒险的投资金额以固定常数为界时，我们表明，在某些条件下，当且仅当内源性阈值范围界限投资组合财富时，约束具有约束力，并且我们确定内源性财富阈值具有光滑的拟合条件。我们的结果涵盖了几种发达的投资组合选择模型，并暗示了新的应用程序。
This paper studies an optimal consumption-investment problem for an investor whose instantaneous utility depends on both consumption and wealth, and the investor faces a general borrowing constraint that the investment amount in the risky asset does not exceed an exogenous function of the wealth. We show that the value function is second-order smooth and present the optimal consumption-investment policy in a feedback form. Moreover, when the risky investment amount is bounded above by a fixed constant, we show that under certain conditions, the constraint is binding if and only if an endogenous threshold bounds the portfolio wealth, and we determine the endogenous wealth threshold with the smooth fit condition. Our results encompass several well-developed portfolio choice models and imply new applications.
