英文标题：
《Ramsey Rule with Progressive utility and Long Term Affine Yields Curves》
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作者：
Nicole El Karoui (LPMA), Mohamed Mrad (LAGA), Caroline Hillairet
  (CMAP)
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最新提交年份：
2014
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英文摘要：
  The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adjusting preferences to new economic information is crucial, justifying the use of progressive utility. This paper studies, in a framework with affine factors, the yield curve given from the Ramsey rule. It first characterizes consistent progressive utility of investment and consumption, given the optimal wealth and consumption processes. A special attention is paid to utilities associated with linear optimal processes with respect to their initial conditions, which is for example the case of power progressive utilities. Those utilities are the basis point to construct other progressive utilities generating non linear optimal processes but leading yet to still tractable computations. This is of particular interest to study the impact of initial wealth on yield curves.
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中文摘要：
本文的目的在于对长期仿射收益率曲线建模的研究。它的灵感来源于经济文献中的拉姆齐法则，该法则将贴现率和总最优消费的边际效用联系起来。对于这种长期模型化，根据新的经济信息调整偏好的可能性至关重要，这证明了使用渐进效用的合理性。本文在仿射因子框架下研究了由拉姆齐规则给出的收益率曲线。它首先描述了在给定最优财富和消费过程的情况下，投资和消费的持续渐进效用。特别注意与线性优化过程有关的关于初始条件的实用程序，例如功率累进实用程序。这些实用程序是构建其他渐进实用程序的基础，这些渐进实用程序生成非线性优化过程，但仍会导致易于处理的计算。这对于研究初始财富对收益率曲线的影响特别有意义。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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