双曲型绝对风险厌恶函数的最优消费与投资组合的显示解

Explicit solutions for the optimal consumption and portfolio of the hyperbolic absolute risk aversion function family

对于资产价格服从几何Brown运动的连续时间消费投资组合问题,在假设个人的效用函数属于双曲型绝对风险厌恶函数族的条件下,简化了模型,得到了最优消费投资组合策略的显示解.并证明了几个关于最优解的重要定理.

For the case when asset prices satisfy the geometric Brownian motion＇ s continuous-time consumption-portfolio problem, the model is simplified and explicit solutions for the optimal consumption and portfolio rules are derived. A few theorems about the optimal solutions are proved under the assumption that the utility function of the individual is a member of the hyperbolic absolute risk aversion （HARA） family.