以可存品与非可存品为消费对象的最优投资消费决策  

Optimal investment and consumption decisions with perishable and durable products as consumption objects

作　　者：明宗峰[1] 郭文旌[2] 胡奇英[3] 

机构地区：[1]华南理工大学数学科学学院,广东广州510640 [2]南京财经大学金融学院,江苏南京210046 [3]上海大学国际工商与管理学院,上海201800

出　　处：《控制理论与应用》2004年第6期911-916,共6页Control Theory & Applications

基　　金：国家自然科学基金项目 (70 2 710 2 1)

摘　　要：传统的投资消费决策问题考虑的消费对象局限于单一的非可存品或者单一的可存品 .而且假定银行的贷款利率等于存款利率 .本文假定银行的贷款利率大于存款利率 ,并且投资者的消费对象为包含可存品与非可存品的组合 .可存品的价格假设服从几何布朗运动 ,它的折旧率假定为一个常值 .应用随机控制方法 。The consumption object considered in the traditional investment consumption decision problem is either a single perishable product or a single durable product and the borrowing rate of the bank is assumed to be equal to the deposit rate.In this paper the borrowing rate of the bank is assumed to be higher than its deposit rate,and the consumption objects of the investor are supposed to be a mixture of perishable and durable products.The unit price of the durable product is assumed to follow a geometric Brownian motion and the physical depreciation rate of the durable goods is supposed to be a constant.By using stochastic control methods,optimal investment-consumption strategies are derived explicitly for the isoelastic utility function case.

关 键 词：最优投资消费 可存品 随机控制 HJB(Hamilton JACOBI Bellman)方程 

分 类 号：F224[经济管理—国民经济]