Partial cooperation formulation is a more viable option than optimistic＇s and pessimistic＇s to solve an ill-posed bilevel programming problem.Aboussoror＇s partial cooperation model uses a constant as a cooperation ...Partial cooperation formulation is a more viable option than optimistic＇s and pessimistic＇s to solve an ill-posed bilevel programming problem.Aboussoror＇s partial cooperation model uses a constant as a cooperation index to describe the degree of follower＇s cooperation.The constant only indicates the leader＇s expectation coefficient for the follower＇s action,not the follower＇s own willingness.To solve this situation,a new model is proposed by using the follower＇s satisfactory degree as the cooperation degree.Then,because this new cooperation degree is a function which is dependent on the leader＇s choice and decided by the follower＇s satisfactory degree,this paper proves such proposed model not only leads an optimal value between the optimistic value and pessimistic＇s,but also leads a more satisfactory solution than Aboussoror＇s.Finally,a numerical experiment is given to demonstrate the feasibility of this new model.展开更多
This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek model.The financial market is composed of one riskfree asset and one risky asset,in...This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek model.The financial market is composed of one riskfree asset and one risky asset,in which stock price dynamics is assumed to be generally correlated with interest rate dynamics.The aim is to maximize expected utility of consumption and terminal wealth in the finite horizon.Legendre transform is used to deal with this investment and consumption problem and the explicit solutions of the optimal investment and consumption strategies with power and logarithm preference are achieved.Finally,the authors add a numerical example to analyze the effect of market parameters on the optimal investment and consumption strategy and provide some economic implications.展开更多
基金supported by the National Natural Science Foundation of China(1140145071171150+4 种基金71471143)the Hubei Provincial Department of Education(B2015348D20141101)the Hubei Province Key Laboratory of Systems Science in Metallurgical Process(Y201518Z201401)
文摘Partial cooperation formulation is a more viable option than optimistic＇s and pessimistic＇s to solve an ill-posed bilevel programming problem.Aboussoror＇s partial cooperation model uses a constant as a cooperation index to describe the degree of follower＇s cooperation.The constant only indicates the leader＇s expectation coefficient for the follower＇s action,not the follower＇s own willingness.To solve this situation,a new model is proposed by using the follower＇s satisfactory degree as the cooperation degree.Then,because this new cooperation degree is a function which is dependent on the leader＇s choice and decided by the follower＇s satisfactory degree,this paper proves such proposed model not only leads an optimal value between the optimistic value and pessimistic＇s,but also leads a more satisfactory solution than Aboussoror＇s.Finally,a numerical experiment is given to demonstrate the feasibility of this new model.
基金supported by the Humanities and Social Science Research Youth Foundation of Ministry of Education of China under Grant No.11YJC790006Center for Research of Regulation and Policy of Zhejiang Province of China under Grant No.13JDGZ03YB+1 种基金the project of National Statistical Science of China under Grant No.2013LY125the Higher School Science and Technology Development Foundation of Tianjin of China under Grant No.20100821
文摘This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek model.The financial market is composed of one riskfree asset and one risky asset,in which stock price dynamics is assumed to be generally correlated with interest rate dynamics.The aim is to maximize expected utility of consumption and terminal wealth in the finite horizon.Legendre transform is used to deal with this investment and consumption problem and the explicit solutions of the optimal investment and consumption strategies with power and logarithm preference are achieved.Finally,the authors add a numerical example to analyze the effect of market parameters on the optimal investment and consumption strategy and provide some economic implications.
