| 考虑两类消费对象的最优投资消费决策问题 |
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| 引用本文： | 代晓燕,王子亭.考虑两类消费对象的最优投资消费决策问题[J].西安文理学院学报,2009,12(2):53-56. |
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| 作者姓名： | 代晓燕 王子亭 |
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| 作者单位： | 中国石油大学(华东)数学与计算科学学院,山东,青岛,266555
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| 摘 要： | 研究了具有异常波动的金融市场中的最优投资消费问题，考虑投资者的消费对象同时包括可存品与非可存品的情况．首先建立了最优投资消费问题的随机控制模型，然后运用动态规划原理，对于幂效用函数情形，得到了最优投资组合与消费选择的显式解，最后对最优解进行了分析说明．
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| 关 键 词： | 异常波动 可存品 HJB方程 动态规划原理 |
A Study on Decision for Optimal Investment and Consumption with Two Consumption Goods |
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| DAI Xiao-yan,WANG Zi-ting.A Study on Decision for Optimal Investment and Consumption with Two Consumption Goods[J].Journal of Xi‘an University of Arts & Science:Natural Science Edition,2009,12(2):53-56. |
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| Authors: | DAI Xiao-yan WANG Zi-ting |
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| Institution: | (College of Mathematics and Computer Science, China University of Petroleum, Qingdao 266555, China) |
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| Abstract: | The paper studies the optimal investment and consumption problems with abnormal fluctuations in the financial market and two consumption goods, namely perishable goods and durable goods. First of all, the stochastic optimal control model of the optimal investment and consumption problem is established, and then by using dynamic programming principle, the optimal investment and consumption strategies are obtained explicitly for the power utility function case. Finally, the optimal strategies are analyzed. |
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| Keywords: | abnormal fluctuation durable goods HJB equation dynamic programming principle |
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