摘要
本文从最优的投资消费组合模型,研究了最大化期望终端财富和消费的过程,然后通过给不同的消费过程设置不同的效用函数,进一步改进了模型,并且得出了改进后的最优终端财富和消费过程.
Based on the optimal investment/consumption portfolio model,the final property process and the final consumption process are studied.Then by the method of setting up different utility functions about consumption,the model is improved.The final processes about property and consumption are changed.
出处
《中央民族大学学报（自然科学版）》
2009年第S1期83-86,共4页
Journal of Minzu University of China(Natural Sciences Edition)
基金
国家自然科学基金(No.10871200)
中央民族大学"211"工程项目(No.021211030312)
关键词
鞅
等价鞅测度
GIRSANOV定理
投资组合
equivalent martingale measure
martingale
investment portfolio
Girsanov theorem
