信息冲击下摩擦市场的最优消费投资组合

1)深圳大学经济学院,深圳 518060; 2)湖北工业大学理学院,武汉 430068

金融工程; 信息冲击; 摩擦市场; 交易成本; 最优消费投资组合; 资产定价

Optimal consumption-investment selection in frictional market with information shock
Chen Ying1 and Hu Erqin2

Chen Ying1 and Hu Erqin21)College of Economics, Shenzhen University, Shenzhen 518060, P.R.China2)School of Science, HuBei University of Technology, Wuhan 430068, P.R.China

financial engineering; information shock; frictional market; transaction costs; optimal consumption-investment; asset pricing model

DOI: 10.3724/SP.J.1249.2014.02153

备注

研究了信息冲击下摩擦市场中的最优消费投资组合问题.在传统模型Constantinides(1986)基础上加入信息冲击,将摩擦市场动态化,得到了最优消费投资组合解.结果表明,与传统模型相比较,加入信息冲击后,交易成本的变化对最优消费投资组合解的影响显著增大,解释了传统模型与实证结果之间的矛盾,说明交易成本在资产定价模型中是不容忽视的因素.

An optimal consumption-investment selection in frictional market with information shock is studied in this paper. A dynamic model of the frictional market is proposed by introducing an information shock on the basis of the traditional model Constantinides(1986), and the optimal consumption-investment solution is established. The result shows that the influence of the transaction costs on the consumption-investment solution is much more significant than that of the traditional model. It also indicates that the transaction cost is a very important factor in the asset-pricing model.

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