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Article by |
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Article by |
�Գ�����Է������(CRRA) ���ε�Ч�ú���,
��ֱ�ӹ���ķ����õ��˴����˵���ʽ����Ͷ�ʲ��Ժ��������Ч��,
�������侭�ú���. ��˼���������Զ������ſ��������е���ȫƽ������.
���ݹ�Ʊ�۸��ͨ�������ʵ���ʷ����,
������SAS������Ƴ�ģ���в����Ľ���ֵ,
�����������˵�����Ͷ�ʲ��Ժ��������Ч��.
of maximizing the expected utility from the terminal wealth in the
case of inflation. For a class of CRRA utility, we obtain by a
direct method an agent's explicit optimal portfolio strategy and the
corresponding maximum expected utility. Moreover, we give some
economical interpretations. This idea comes from the
completion-of-square technique of linear quadratic optimal control
problems. In Section 3, based on the history data of the stock price
and the inflation rate, the values of the parameters in models are
estimated with SAS software. And then, the explicit optimal
portfolio strategy and the maximum expected utility are also given.