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具有固定消费流的最优投资的CEV模型

Optimal Portfolio Choice with Fixed Consumption under CEV Model
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摘要 利用随机控制方法、贝尔曼方程及最大值原理,研究了在具有固定消费流的CEV(Constant Clastic of Variance)模型下的最优投资问题,通过Lagendre变换求得此模型的Ricati方程形式,结构比较简单,得到一个反馈公式.作者的目标是期末财富效用最大化.该文的研究结论对个人投资、养老基金、保险公司的投资决策有一定的经济意义. The method of stochastic control, Bellman equation and the maximum rules are used to settle down the problem of optimal portfolio choice with fixed consumption. A eyelie solution to the equation is obtained. The conclusion is economically meaningful for private investors, management of pension fund, and insurance companies in portfolio choice.
作者 彭望祥 秦成林
机构地区 上海大学理学院
出处 《上海大学学报（自然科学版）》 CAS CSCD 北大核心 2006年第2期203-206,共4页 Journal of Shanghai University:Natural Science Edition
关键词 随机控制 固定消费流 CEV模型 期末财富效用最大化 Lagendre变换 stochastic control fixed consumption CEV model terminal wealth utility Lagendre change
分类号 F840.31 [经济管理—保险] O212.1 [理学—概率论与数理统计]
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参考文献14

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共引文献13

上海大学学报（自然科学版）
2006年 第2期

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