摘要
考虑了通货膨胀影响下时间一致的投资策略选择问题,运用随机控制的方法得到了时间一致的最优投资策略和相应值函数的显式解,并通过数值算例讨论了模型参数对时间一致最优投资策略的影响.
An optimal time-consistent investment strategy selection problem with inflation influence is considered.By using the stochastic control approach,closed-form solutions for the optimal investment strategies and the corresponding value functions are obtained.Numerical examples and economic significance analysis are also provided to illustrate how the optimal investment strategies changes when some model parameters vary.
作者
刘文强
邱力军
杨鹏
LIU Wen-qiang;QIU Li-jun;YANG Peng(School of Science,Xijing University,Xi＇an 710123,China)
出处
《东北师大学报（自然科学版）》
CAS
CSCD
北大核心
2018年第2期41-46,共6页
Journal of Northeast Normal University(Natural Science Edition)
基金
陕西省自然科学基金资助项目(2016JM1032)
关键词
通货膨胀
时间一致
随机控制
投资
inflation
time-consistent
stochastic control
investment
