Optimal Investment And Consumption Strategy Based On CEV Model

In the life,investment and consumption are closely related to people's interests.The essence of people's main behavior is to better distribute their assets so that they can get the maximum terminal benefit of wealth.This paper chooses the constant variance elastic to study that investors invest their wealth in assets to obtain income and maximize the expected return.Which enriches the research of economic theory to a certain extent.It also provides a practical reference for personal or enterprises investment and consumption.Besides,the government can formulate some policies to promote people's investment and consumption.In this paper,the research on investment and consumption strategy is as follows:(1)First of all,it is the analysis of the current trend of the investment and consumption market,it shows the way and deficiency of the distribution of wealth at the present stage.It further illustrates the importance of studying investment and consumption strategies from real life.(2)When using the CEV model,it is assumed that the assets are invested in risk-free assets and risk assets respectively,in which the price of risk assets obeys the CEV model.After introducing random income,we not only consider that investment is related to random income,but also think that consumption is also related to random income.We deduce it and take the expected utility of maximizing consumption and final wealth with discount as the goal.The optimal investment and consumption strategy under logarithmic utility function is solved,and the numerical simulation is carried out by MATLAB software.(3)We know that in the real market,interest rate and volatility are not constant,so we use random affine interest rate and Heston random volatility to derive the optimal investment and consumption strategy under logarithmic utility function,and numerical simulation is carried out by MATLAB software.Through the image analysis of numerical simulation,we can get in the market₀?₁??andhave a negative impact on the optimal investment strategy,while₁ and₀ have a positive impact on the optimal investment strategy,while for consumption,in most cases,each parameter can lead to an increase in the expected return of overall wealth.That is to say,most of the parameters have a positive impact on the consumption strategy,and the increase of wealth will lead to the increase of consumption.The influence trend of the parameters of the numerical simulation in this paper is consistent with the literature.