论文标题
爱泼斯坦 - Zin问题的稳定性
Stability of the Epstein-Zin problem
论文作者
论文摘要
我们研究了Epstein-Zin问题在交易证券动力学中的微小扭曲方面的稳定性。我们在不完整的市场模型设置中工作，在这种情况下，我们对扰动的参数化允许在风险资产和利率的回报和波动性中进行联合扭曲。从经验上考虑风险规避和跨期替代的弹性的最相关规格，我们提供了一种条件，可以保证基本问题的域的凸度，并导致解决方案的存在和独特性。然后，我们证明了最佳消耗流，关联的财富过程，间接实用程序过程以及当模型扰动消失时限制的价值函数的收敛性。
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint distortions in returns and volatility of the risky assets and the interest rate. Considering empirically the most relevant specifications of risk aversion and elasticity of intertemporal substitution, we provide a condition that guarantees the convexity of the domain of the underlying problem and results in the existence and uniqueness of a solution to it. Then, we prove the convergence of the optimal consumption streams, the associated wealth processes, the indirect utility processes, and the value functions in the limit when the model perturbations vanish.
