FEI Weiyin, WU Rangquan. A Study on Dynamical Economic Model for Optimal Consumption and Investment[J]. Chinese Journal of Applied Probability and Statistics, 1999, 15(1): 35-42.
Citation: FEI Weiyin, WU Rangquan. A Study on Dynamical Economic Model for Optimal Consumption and Investment[J]. Chinese Journal of Applied Probability and Statistics, 1999, 15(1): 35-42.

A Study on Dynamical Economic Model for Optimal Consumption and Investment

  • 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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