考虑存贷利差的最优消费与投资组合问题  

Optimal strategies on consumption and portfolio problem with interest spreads of deposit and loan

作　　者：王秋媛[1] 杨瑞成[2] 刘坤会[1] 王军[1] 

机构地区：[1]北京交通大学金融数学与金融工程研究所,北京100044 [2]大连理工大学管理学院博士后流动站,辽宁大连116024

出　　处：《系统工程学报》2010年第1期29-35,共7页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70471001);中国博士后基金资助项目(20070410350)

摘　　要：利用贝尔曼动态规划原理和非线性规划原理,研究了在具有存贷利差的条件下,投资者整个生命周期内的消费效用最大化问题.给出了不同条件下最优消费与投资组合的计算公式及相应最大消费效用期望值,同时解释其经济意义;讨论了不同情形下存贷利差对最优消费的影响,求出了投资者在某一时刻财富与消费的关系,并给出直观图例.Under the assumption that there exists interest spreads between deposit and loan in financial market,this paper considers the maximization problem of consumption utility of a investor in his expected lifetime.Using Bellman dynamic programming principle and nonlinear programming principle,the paper derives the computation formula of optimal consumption and portfolio under different conditions and corresponding value of the expected maximum consumption utility,and explains its economic meaning.Furthermore,it ...

关 键 词：存贷利差 贝尔曼动态规划原理 非线性规划原理 最优消费与投资组合问题 

分 类 号：F830[经济管理—金融学]