摘要
在国际金融市场上，投资商参与风险资产投资，国际投资商的投资行为不仅受风险资产价格变动的影响，而且受外汇市场汇率波动风险的影响，在投资者效用最大化的标准下，本文研究了国际金融市场的投资者投资决策模型．在确定性系数下，提供了反馈形式的消费投资公式，并就股价或汇率变动对投资者行为的影响进行了理论分析．分析表明，我们的模型从理论上可以解释１９９７
On the international finance market,the investor makes investments in risky assets.The international investors behavior of portfolio investment is affected by not only the changes of security prices also the fluctuations of exchange rates.Under the standard of investors utility maximization,this paper studies the portfolio investment decision model.On condition of deterministic coefficients,a formula of optimal consumption/investment in feedback form is given.At last,the investors behavior of investment is theoretically analyzed when the stock prices and/or exchange rates fluctuations.The analysis shows that our model can theoretically explain the influence on international capital moving of the finance crisis starting from the Southeast Asia in 1997.
出处
《经济数学》
1999年第2期39-46,共8页
Journal of Quantitative Economics
关键词
随机控制
凸分析
受约束的最优消费投资
汇率
国际金融市场
Stochastic control,convex analysis,constrained optimal consumption/investment,exchange rates,internation finance market.
