摘要
A stochastic control model is studied.The objective of the investor is to maximize expected utility from terminalconsumption.However,the investor possesses informa-tion about the terminal values of the components of the Brownian motion which drives securities’prices.With the method of stochastic control being applied,investor’s optimal decision is obtained.Especially,the logarith-
A stochastic control model is studied. The objective of the investor is to maximize expected utility from terminal consumption. However, the investor possesses information about the terminal values of the components of the Brownian motion which drives securities' prices. With the method of stochastic control being applied, investor' a optimal decision is obtained. Especially, the logarithmic utility case is discussed.
基金
Projecta supported by the Education Commission of Anhui Provinee(No.2000jw049)
