不允许借贷的最优消费及资产决策模型研究  

Research on model of optimal consumption and assets decision with no borrowing

作　　者：黄薇[1] 曹长修[2] 刘琼芳[1] 

机构地区：[1]重庆大学数理学院,重庆400030 [2]重庆大学自动化学院,重庆400030

出　　处：《控制与决策》2010年第3期351-355,共5页Control and Decision

基　　金：国家自然科学基金项目(70571089);国家社科基金项目(08BJY154);教育部新世纪优秀人才项目(NCET-07-0905)

摘　　要：引入遗留财富重视程度因子,在无借贷约束和不允许借贷约束的条件下,建立了有穷时间限的最优消费与资产决策模型.运用随机最优控制理论及鞅最优性原理求出了模型的显式最优解.在此基础上,运用比较静态分析方法考察了在有约束和没有约束两种市场中的消费行为,并对两种市场中的消费和资产决策行为进行了比较研究.By introducing the degree of importance factor of bequest wealth,the models of optimal consumption and assets selection are set up in the two kinds of markets：no borrowing or without constraints. With the application of stochastic optimal control theory and martingale optimality principle,the optimal solutions of the models in explicit form are extracted. On the basis of analytical optimal solutions,the consumer behaviors and assets decision are studied by comparative static analysis. The contrasting research on consumer behaviors in the two kinds of markets is made.

关 键 词：不允许借贷 随机最优控制 鞅最优性原理 显式最优解 

分 类 号：O231.3[理学—运筹学与控制论] O232[理学—数学]