| Autor: |
Kikuchi, Kentaro, Kusuda, Kouji |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
|
| Zdroj: |
Discussion Paper, Series E. :1-31 |
| Popis: |
This study considers a finite-time consumption-investment problem for investors with homothetic robust utility under the quadratic security market model with stochastic volatilities and inflation rates. This leads to a nonlinear nonhomogeneous partial differential equation for indirect utility. We propose a linear approximation method and derive the approximate optimal robust portfolio decomposed into myopic, intertemporal hedging, and inflation-deflation hedging demands. We also propose a method to estimate our quadratic security market model that achieves stability of optimal portfolio estimates. We then apply our estimation method to the two-factor quadratic security market model. Our numerical analysis shows that the market timing effects in the optimal robust allocation are significant and nonlinear and are mainly owing to inflation-deflation hedging demand. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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