摘要翻译：
在连续时间随机经济中，考虑了具有代表性的投资者在贴现率变化的金融市场中的消费和投资问题。投资机会是一只股票和一个无风险的账户。市场系数和折扣因子按有限状态马尔可夫链切换。折现率的变化导致投资者决策的时间不一致。模型中的随机性是由布朗运动和马尔可夫链驱动的。继Ekeland等（2008）之后，我们引入并刻画了功率效用函数的均衡策略。此外，对于对数效用函数，它们是以封闭形式计算的。我们发现，较高的贴现率导致较高的均衡消费率。数值实验表明了时间偏好和风险厌恶对均衡政策的影响。
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英文标题：
《On Investment-Consumption with Regime-Switching》
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作者：
Traian A.Pirvu, Huayue Zhang
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最新提交年份：
2011
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分类信息：

一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Computer Science        计算机科学
二级分类：Systems and Control        系统与控制
分类描述：cs.SY is an alias for eess.SY. This section includes theoretical and experimental research covering all facets of automatic control systems. The section is focused on methods of control system analysis and design using tools of modeling, simulation and optimization. Specific areas of research include nonlinear, distributed, adaptive, stochastic and robust control in addition to hybrid and discrete event systems. Application areas include automotive and aerospace control systems, network control, biological systems, multiagent and cooperative control, robotics, reinforcement learning, sensor networks, control of cyber-physical and energy-related systems, and control of computing systems.
cs.sy是eess.sy的别名。本部分包括理论和实验研究，涵盖了自动控制系统的各个方面。本节主要介绍利用建模、仿真和优化工具进行控制系统分析和设计的方法。具体研究领域包括非线性、分布式、自适应、随机和鲁棒控制，以及混合和离散事件系统。应用领域包括汽车和航空航天控制系统、网络控制、生物系统、多智能体和协作控制、机器人学、强化学习、传感器网络、信息物理和能源相关系统的控制以及计算系统的控制。
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless account. The market coefficients and discount factor switches according to a finite state Markov chain. The change in the discount rate leads to time inconsistencies of the investor's decisions. The randomness in our model is driven by a Brownian motion and Markov chain. Following Ekeland etc (2008) we introduce and characterize the equilibrium policies for power utility functions. Moreover, they are computed in closed form for logarithmic utility function. We show that a higher discount rate leads to a higher equilibrium consumption rate. Numerical experiments show the effect of both time preference and risk aversion on the equilibrium policies.
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PDF链接：
https://arxiv.org/pdf/1107.1895