Time-Varying Margin Requirements and Optimal Portfolio Choice
研究了在时变保证金要求下，具有递归偏好的投资者的最优消费和投资组合问题，发现保证金要求产生的非标准对冲需求随其持续性和波动性增加，但在实际参数下对冲需求很小，价格跳跃对最优投资组合的影响远大于约束跳跃。
Abstract This paper studies the optimal consumption and portfolio problem of an investor with recursive preferences who is subject to time-varying margin requirements. The level of the requirements at each moment is determined by contemporaneous volatility of returns, which is stochastic and may have jumps. I show that the nonstandard hedging demand produced by margin requirements increases with their persistence and volatility. However, for realistic values of parameters, the hedging demand is small even in the presence of jumps, and contemporaneous jumps in prices have a much stronger effect on optimal portfolio than jumps in constraints.