最优消费投资的动态经济模型研究(Ⅰ)  

A Study on Dynamical Economic Model for Optimal Consumption and Investment

作　　者：费为银[1] 吴让泉[2] 

机构地区：[1]安徽机电学院基础部,芜湖241000 [2]中国纺织大学基础部,上海200051

出　　处：《应用概率统计》1999年第1期35-42,共8页Chinese Journal of Applied Probability and Statistics

摘　　要：本文研究了金融市场上投资者消费效用优化的随机控制问题．设金融市场上有一个局部无风险的资产和ｄ个风险资产，其价格服从连续的Ｉｔｏ模型．在效用折扣过程为有限分段函数情形下，得出了关于目前财富反馈形式的最优消费投资公式．This paper study a stochastic control problem of investor's consumption utility maximization im financial market. The prices of one riskless asset and d risk assets follow a continuous time, Ito model. Optimal consumption and Investment formulae in feedback form on the current wealth are obtained on condition that discounted process of utility is a finite piecewise function.

关 键 词：最优消费 投资 折扣过程 金融市场 动态经济模型 

分 类 号：F830.9[经济管理—金融学] F224.1