通货膨胀是投资者进行资产配置时面临 的主要问题, 其不仅会影响投资者的投资决策, 也会对其 投资收益产生重要影响. 文章在CRRA (constant relative risk aversion) 假设下, 效用函数同时考虑了投资者的消费和最终财富. 在约束条 件下, 文章求解了一般均衡时的最优消费和最优财富, 与此同时得出$t$时刻 财富与消费的比值实际上是年金债券的结论, 并在此基础上得出了一般情况 下的投资组合策略. 当存在通货膨胀时, 文章利用指数债券对冲通货膨胀 风险, 求解出远期期望消费和远期期望财富, 最终得到通货膨胀条件下的投资组合策略.

Inflation is the main problem for asset allocation of investors which would affect their investment strategies and returns. In the hypothesis of CRRA, consumption and final wealth are simultaneously concluded in the utility function. The article derives the optimal consumption and wealth in the general equilibrium under the constraint condition. Also the conclusion that the ratio of wealth and consumption in the time $t$ is an annuity bond is derived. Based on it, we get the portfolio strategies in the general condition. The article uses indexed bond to hedge the inflation, and gets the forward expected consumption and wealth and the portfolio strategies simultaneously in the condition of inflation.