最优消费投资的动态经济模型研究(Ⅰ)

A Study on Dynamical Economic Model for Optimal Consumption and Investment

  • 摘要: 本文研究了金融市场上投资者消费效用优化的随机控制问题,设金融市场上有一个局部无风险的资产和d个风险资产,其价格服从连续的Ito模型,在效用折扣过程为有限分段函数情形下,得出了关于目前财富反馈形式的最优消费投资公式。

     

    Abstract: This paper study a stochastic control problem of investor’s consumption utility maximization im financial market. The prices of one riskless asset and d risk assets follow a continuous time, Ito model. Optimal consumption and Investment formulae in feedback form on the current wealth are obtained on condition that discounted process of utility is a finite piecewise function.

     

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