| 典型效用指标下投资组合及消费选择的最优控制 |
| |
| 引用本文： | 路克微,王子亭.典型效用指标下投资组合及消费选择的最优控制[J].西安文理学院学报,2007,10(1):58-61. |
| |
| 作者姓名： | 路克微 王子亭 |
| |
| 作者单位： | 中国石油大学(华东)数学与计算科学学院 山东东营257061 |
| |
| 摘 要： | 研究两种股票的最优投资及消费问题.首先给出了金融市场中的随机模型,利用公式,得到了与消费及投资策略有关的财富过程的随机微分方程,并建立了最优消费与投资问题的随机控制模型.在随机干扰源相互关联的情形下,运用动态规划方法,对一类特殊的效用函数情形,得到了最优投资组合及消费选择的显性解.
|
| 关 键 词： | 最优投资组合及消费 效用函数 随机微分方程 HJB方程 |
| 文章编号： | 1008-5564(2007)01-0058-04 |
| 修稿时间： | 2006年1月30日 |
Optimal Control in Investment Portfolio and Consumption under Typical Utility Index |
| |
| LU Ke-wei,WANG Zi-ting.Optimal Control in Investment Portfolio and Consumption under Typical Utility Index[J].Journal of Xi‘an University of Arts & Science:Natural Science Edition,2007,10(1):58-61. |
| |
| Authors: | LU Ke-wei WANG Zi-ting |
| |
| Abstract: | The optimal investment portfolio and consumption policies of two stocks were studied.First of all,the stochastic model in the financial market was introduced.By using formula,the stochastic differential equation of wealth process concerning the decision of consumption and investment was given;the stochastic control model for consumption and investment was established.By using the dynamical programming method,the optimal investment portfolio and consumption policies for a particular kind of utility function were obtained under the condition of correlated random sources of disturbance. |
| |
| Keywords: | optimal investment portfolio and consumption utility function stochastic differential equation HJB equation |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
