Equilibrium investment with random risk aversion
研究了投资者面临随机偏好时的最优投资问题，提出基于预期确定性等值的均衡方法，并针对幂效用和指数效用完成计算，发现均衡股票比例与财富无关但随时间递减。
We solve the problem of an investor who maximizes utility but faces random preferences. We propose a problem formulation based on expected certainty equivalents. We tackle the time-consistency issues arising from that formulation by applying the equilibrium theory approach. To this end, we provide the proper definitions and prove a rigorous verification theorem. We complete the calculations for the cases of power and exponential utility. For power utility, we illustrate in a numerical example that the equilibrium stock proportion is independent of wealth, but decreasing in time, which we also supplement by a theoretical discussion. For exponential utility, the usual constant absolute risk aversion is replaced by its expectation.