This article studies optimal consumption-leisure, portfolio and retirement selection of an infinitely lived investor whose preference is formulated by a-maxmin expected CES utility which is to differentiate ambiguity ...This article studies optimal consumption-leisure, portfolio and retirement selection of an infinitely lived investor whose preference is formulated by a-maxmin expected CES utility which is to differentiate ambiguity and ambiguity attitude. Adopting the recursive multiple- priors utility and the technique of backward stochastic differential equations （BSDEs）, we transform the （^-maxmin expected CES utility into a classical expected CES utility under a new probability measure related to the degree of an investor＇s uncertainty. Our model investi- gates the optimal consumption-leisure-work selection, the optimal portfolio selection, and the optimal stopping problem. In this model, the investor is able to adjust her supply of labor flex- ibly above a certain minimum work-hour along with a retirement option. The problem can be analytically solved by using a variational inequality. And the optimal retirement time is given as the first time when her wealth exceeds a certain critical level. The optimal consumption-leisure and portfolio strategies before and after retirement are provided in closed forms. Finally, the distinctions of optimal consumption-leisure, portfolio and critical wealth level under ambiguity from those with no vagueness are discussed.展开更多
This article analyzes the Pareto optimal allocations,agreeable trades and agreeable bets under the maxmin Choquet expected utility(MCEU)model.We provide several useful characterizations for Pareto optimal allocations ...This article analyzes the Pareto optimal allocations,agreeable trades and agreeable bets under the maxmin Choquet expected utility(MCEU)model.We provide several useful characterizations for Pareto optimal allocations for risk averse agents.We derive the formulation descriptions for non-existence agreeable trades or agreeable bets for risk neutral agents.We build some relationships between ex-ante stage and interim stage on agreeable trades or bets when new information arrives.展开更多
The characteristics of interval systems under the framework of extremum algebra is a meaningful research direction.In this paper we study the characterizations of various kinds of solvabilities of interval linear ineq...The characteristics of interval systems under the framework of extremum algebra is a meaningful research direction.In this paper we study the characterizations of various kinds of solvabilities of interval linear inequalities in the max-min algebra,including the weak solvability,strong solvability,tolerance solvability,strongly tolerance solvability,control solvability and strongly control solvability.Furthermore,we analyze the existence of solutions and the solvabilities,and show these two concepts are equivalent in certain situations.In addition,we find the maximum solutions corresponding to different kinds of solvabilities.展开更多
基金Supported by National Natural Science Foundation of China (71171003, 71271003)Programming Fund Project of the Humanities and Social Sciences Research of the Ministry of Education of China (12YJA790041)+1 种基金Anhui Natural Science Foundation (090416225, 1208085MG116)Anhui Natural Science Foundation of Universities (KJ2010A037, KJ2010B026)
文摘This article studies optimal consumption-leisure, portfolio and retirement selection of an infinitely lived investor whose preference is formulated by a-maxmin expected CES utility which is to differentiate ambiguity and ambiguity attitude. Adopting the recursive multiple- priors utility and the technique of backward stochastic differential equations （BSDEs）, we transform the （^-maxmin expected CES utility into a classical expected CES utility under a new probability measure related to the degree of an investor＇s uncertainty. Our model investi- gates the optimal consumption-leisure-work selection, the optimal portfolio selection, and the optimal stopping problem. In this model, the investor is able to adjust her supply of labor flex- ibly above a certain minimum work-hour along with a retirement option. The problem can be analytically solved by using a variational inequality. And the optimal retirement time is given as the first time when her wealth exceeds a certain critical level. The optimal consumption-leisure and portfolio strategies before and after retirement are provided in closed forms. Finally, the distinctions of optimal consumption-leisure, portfolio and critical wealth level under ambiguity from those with no vagueness are discussed.
基金supported by the National Natural Science Foundation of China(No.12171471)Natural Science Foundation of Jiangsu Province(No.BK20221543).
文摘This article analyzes the Pareto optimal allocations,agreeable trades and agreeable bets under the maxmin Choquet expected utility(MCEU)model.We provide several useful characterizations for Pareto optimal allocations for risk averse agents.We derive the formulation descriptions for non-existence agreeable trades or agreeable bets for risk neutral agents.We build some relationships between ex-ante stage and interim stage on agreeable trades or bets when new information arrives.
基金supported by the Natural Science Foundation of Zhejiang Province(No.LY21A010021)。
文摘The characteristics of interval systems under the framework of extremum algebra is a meaningful research direction.In this paper we study the characterizations of various kinds of solvabilities of interval linear inequalities in the max-min algebra,including the weak solvability,strong solvability,tolerance solvability,strongly tolerance solvability,control solvability and strongly control solvability.Furthermore,we analyze the existence of solutions and the solvabilities,and show these two concepts are equivalent in certain situations.In addition,we find the maximum solutions corresponding to different kinds of solvabilities.
