基于递归效用函数的两个代理人间的最优财富分配  

Optimal wealth distribution between two agents with recursive utility

作　　者：朱祎莉[1] 

机构地区：[1]上海理工大学理学院,上海200093

出　　处：《上海理工大学学报》2006年第3期245-248,共4页Journal of University of Shanghai For Science and Technology

基　　金：上海市高校选拔培养优秀青年教师科研专项基金资助项目

摘　　要：在递归效用函数的基础上,讨论了两个代理人间的最优财富分配问题,将最优问题转化为动态方程.通过动态方程的求解过程,得到一个可加效用中得不到的性质,即代理人的期望剩余效用越高,其选择当期消费就会越高.The optimal wealth distribution between two agents with recursive utility is discussed. The problem of utility maximization is transformed to the solving of a dynamic equation. In the solution process, the property which cannot be obtained by additive utility approach will be acquired, i.e., the more remainder utility the agent expects, the more consumption he will choose.

关 键 词：递归效用函数 经济人优化 动态Bellman方程 效用最大化 

分 类 号：O29[理学—应用数学]