个人投资与消费模型的期望效用最大化

Maximization of Expected Utility of Personal Investment and Consumption Model

研究了具有初始财富的投资者如何最大化终端资产和消费的期望效用,首先通过交易费用函数建立带交易费的连续时间投资与消费模型,然后运用鞅分析和对偶理论证明了:在有效市场中,如果投资者积极交易,则只会降低终端财富的期望值,并得到了最优投资消费组合过程和终端资产.

This paper studied the problem of an agent with an initial endowment, who can consume or invest in a stand ard complete market with transaction costs. It set up the investment consumption model of continuous time by using function of transaction costs. By using the duality theory and the martingal theory , it proves that aggressive bargain will reduce the expec tations of terminal assets in a complete viable market with transaction costs, but will get the optimal investment consumption process and terminal assets.