Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets
给出了在均值回归收益下，投资者消费效用最大化问题的闭式解，假设市场完全，从而避免了近似或数值方法，并揭示了套期保值需求的新理解。
This paper solves, in closed form, the optimal portfolio choice problem for an investor with utility over consumption under mean-reverting returns.Previous solutions either require approximations, numerical methods, or the assumption that the investor does not consume over his lifetime.This paper breaks the impasse by assuming that markets are complete.The solution leads to a new understanding of hedging demand and of the behavior of the approximate log-linear solution.The portfolio allocation takes the form of a weighted average and is shown to be analogous to duration for coupon bonds.Through this analogy, the notion of investment horizon is extended to that of an investor who consumes at multiple points in time.Recent empirical work demonstrates that stock returns are predictable by scaled price measures.For example, Campbell and Shiller (1988) and Fama and French (1989) demonstrate that the dividend-price ratio predicts excess returns on the market.There is related evidence that stock returns exhibit mean reversion.Poterba and Summers (1988) demonstrate that the variance of stock returns is reduced at longer horizons.What are the consequences of predictability in returns for portfolio choice?A recent literature, beginning with Brennan, Schwartz, and Lagnado (1997), Campbell andViceira (1999), andKim andOmberg (1996), analyzes the consequences of this empirical fact for financial decisions.Barberis (2000) generalizes the setup to account for parameter uncertainty, while Balduzzi and Lynch (1999) account for transaction costs.Brandt