考虑两类消费对象的最优投资消费决策问题

A Study on Decision for Optimal Investment and Consumption with Two Consumption Goods

研究了具有异常波动的金融市场中的最优投资消费问题,考虑投资者的消费对象同时包括可存品与非可存品的情况.首先建立了最优投资消费问题的随机控制模型,然后运用动态规划原理,对于幂效用函数情形,得到了最优投资组合与消费选择的显式解,最后对最优解进行了分析说明.

The paper studies the optimal investment and consumption problems with abnormal fluctuations in the financial market and two consumption goods, namely perishable goods and durable goods. First of all, the stochastic optimal control model of the optimal investment and consumption problem is established, and then by using dynamic programming principle, the optimal investment and consumption strategies are obtained explicitly for the power utility function case. Finally, the optimal strategies are analyzed.