【摘要】 基金分离定理说明投资者应当选择相同的投资组合,这于行业界普遍针对投资者年龄、收入等个体因素推荐策略的做法相悖.为了解决这样的问题,将劳动收入引入最优消费-投资选择模型将有助于解释这一困惑.但是理论的发展并没有很好的解决这一模型,特别是当不可对冲劳动收入风险引入了市场不完备性时,这使得模型的解难以得到.将考察CRRA效用下不可对冲收入风险的一般模型,采用对偶的方法将约束最优化问题转化为无约束的虚拟问题,进而得到状态依赖的最优风险价格,进而刻画出值函数以及最优投资和消费策略.更多还原

【Abstract】 Mutual fund separation theorem suggests all investors should hold the same risky portfolio,while advisors always recommend different portfolio for different kind of investor.In order to characterize this puzzle,one possible way is to include the labor income,but the academy haven’t solve such a model,especially with unhedgeable income.Such kind of incomplete market makes trouble.Here we’ll resolve this problem with CRRA utility by means of duality to transform the constrained problem into unconstrained auxiliary problem.Finally,the optimal price of risk is achieved analytically,as well as value function and policies.更多还原