Epstein-Zin 효용함수를 이용한 자산배분전략과 수렴성
Asset Allocation Strategy and Convergence with Epstein-Zin Utility function
정승원(아주대학교); 안세륭(부경대학교); 안상진(아주대학교); 구형건(아주대학교)
39권 3호, 1~14쪽
초록
In this paper, we study the optimal consumption and investment problems for an individual with the Epstein-Zin type utility. We employ the binomial tree model for dynamics of the risky asset and derive optimal policies. We show that the optimal policies converge to those in the continuous-time model of Schroder and Skiadas. The convergence rate of optimal policies is of the order of equal to the time interval between consecutive time points, and there is little difference in convergence rates between CRRA and Epstein-Zin utilities. We also show that the optimal consumption decreases as the elasticity of intertemporal substitution increases.
Abstract
In this paper, we study the optimal consumption and investment problems for an individual with the Epstein-Zin type utility. We employ the binomial tree model for dynamics of the risky asset and derive optimal policies. We show that the optimal policies converge to those in the continuous-time model of Schroder and Skiadas. The convergence rate of optimal policies is of the order of equal to the time interval between consecutive time points, and there is little difference in convergence rates between CRRA and Epstein-Zin utilities. We also show that the optimal consumption decreases as the elasticity of intertemporal substitution increases.
- 발행기관:
- 한국경영과학회
- 분류:
- 경영학