部分信息下的最优投资消费策略显式解
An Explicit Solution to Optimal Investment and Consumption with Partial Information
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摘要: 本文讨论投资者极大化生命期期望消费效用的最优化问题,在较一般情形下,给出了由证券交易价格(部分信息)决定的最优投资消费策略显式解。Abstract: In the present paper we address the optimization problem of an investor who wants to maximize the expected total utility from consumption. In the general situation we establish an explicit solution to the optimal investment and consumption determined by the security prices.