固定消费/收入模型下的M-V最优投资组合选择

Optimal M-V Portfolio Selection with Fixed Consumption-income Styles

本文研究了一个有固定消费/收入现金流的连续时间的最优投资组合选择问题.把投资者的财富用分离的思想来考虑.将投资者的财富分成两部分,消费/收入部分和投资部分,从而将原问题转化为不含消费/收入现金流的M-V投资组合选择的辅助问题.证明了辅助问题的最优投资策略就是原问题的最优策略,得到了原问题的最优策略及有效前沿并分析了消费/收入对投资的影响.

A continuous-time optimal portfolio selection problem with the fixed consumption-income is studied.Considering the separated methods,the investor s wealth is divided into two part:one keeping the fixed consumption,the other used to invest.So the initial problem is translated into an assistant problem without consumption-income flow.The conclusion of the assistant problem s optimal portfolio is that of the primary problem is proved.And the optimal strategy and the efficient frontier of the original model are...