摘要
研究了当投资者的消费为固定模式时的最优投资组合问题.投资者的目的是:在保证固定消费正常进行的条件下,使最终财富的期望效用最大.把现金流分成两部分来考虑:一部分保证消费的正常进行,一部分用于投资.假设投资者的消费是时间的连续函数或者分段连续函数,应用随机最优控制的方法得到了这两种情形下一般效用函数的最优投资策略并导出了值函数满足的HJB方程.最后,分析了消费对投资决策的影响.
A portfolio optimization problem with fixed consumption modes is studied. Under the condition that the fixed consumption can be guaranteed, we tries to maximize expected utility from final wealth. The cash flow is divided to two parts: one is used to keep the fixed consumption, the other is used to invest. With the assumption that the consumption rate is continuous or piecewise continuous and using the stochastic control method, the optimal investment strategy corresponding to the general utility function and the HJB equation satisfied the value function are derived under this two cases respectively. Finally, the influence of consumption on investment decision is analyzed.
出处
《系统工程学报》
CSCD
2004年第6期566-571,共6页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(70271021).
