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| 具有线性消费模式的最优投资研究 | |
| 引用本文： | 李伟舵,罗琰,李君安.具有线性消费模式的最优投资研究[J].深圳信息职业技术学院学报,2012,10(3):74-79. |
| 作者姓名： | 李伟舵 罗琰 李君安 |
| 作者单位： | 1. 中共湖南省委党校,湖南长沙,410006 2. 南京审计学院数学与统计学院,江苏南京,210075 3. 南宁市社会科学院,广西南宁,530022 |
| 基金项目： | 国家自然科学基金资助项目(70971037);教育部人文社会科学项目(12YJCZH128) |
| 摘 要： | 本文研究线性消费模式的最优投资问题。不同于Merton问题中消费是内生决策变量,本文假设投资者单位时间内必须消费不少于一个固定数量的财富,因而投资者有可能最终破产。在两类不同投资目标下,通过求解模型相对应的HJB方程,都获得了最优投资策略及最优值函数的闭式解。结果表明,最大化终止时刻财富期望效用准则的最优投资策略与最小化破产概率准则的最优投资策略截然不同。 |
| 关 键 词： | 破产概率 期望效用 线性消费 随机控制 |
Study of Optimal Investment with Linear Consumption |
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| LI Weiduo,LUO Yan,LI Junan.Study of Optimal Investment with Linear Consumption[J].Journal of Shenzhen Institute of Information Technology,2012,10(3):74-79. | |
| Authors: | LI Weiduo LUO Yan LI Junan |
| Institution: | 1.Party School of Hunan Committee of CPC,Hunan Changsha 410006,P.R.China;2.School of Mathematics and Statistics,Nanjing Audit University,Jiangsu Nanjing 210075,P.R.China;3.Nanning Academy of Social Sciences,Guangxi Nanning 530022,P.R.China) |
| Abstract: | In this paper we study the problem of optimal investment with linear consumption.Different from Merton problem which consumption is a decision variable,there is a positive probability of ruin because investor is forced to pay more than a fixed quantity of money per unit time.Under two different criteria we get closed-form expressions of the optimal strategies and the optimal value functions by solving the corresponding HJB equation in each case.The results indicate that the optimal strategies are completely different between based on maximizing expected utility criteria and minimizing ruin probability criteria。 |
| Keywords: | Ruin Probability Expected Utility Linear Consumption Stochastic Control |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |