在机制转换金融市场中红利对最优消费投资影响分析  

On optimal consumption and portfolio in financial markets with both dividend and regime switching

作　　者：牛艳[1] 费为银[1] 李淑娟[1] 陈超[1] 

机构地区：[1]安徽工程大学数理学院,安徽芜湖241000

出　　处：《安徽工程大学学报》2011年第3期62-67,共6页Journal of Anhui Polytechnic University

基　　金：国家自然科学基金资助项目(10826098);安徽省自然科学基金资助项目(090416225);安徽省高校自然科学基金资助项目(kj2010a037)项目资助;安徽省高校重点教学研究基金资助项目(2008jyxm070)

摘　　要：考虑了在不同机制下的金融市场中带有红利支付的消费投资问题,在连续的时间里,投资者选择的消费投资策略使期望效用最大化.市场系数和投资者的消费效用是依赖于金融市场机制的.利用马尔可夫过程和随机控制理论,就几个特殊的HARA效用函数情形获得了最优消费投资策略的显示解.并针对市场在两种机制中的转换进行经济分析.This paper considers a consumption and investment problem where the market presents different regimes and the stocks pay dividends.An investor taking decisions continuously in time selects a consumption and investment strategy to maximize expected utility.Market factors and investor＇s utility of consumption depend on the regime of financial market.In light of the theories of Markov process and stochastic control,the explicit optimal consumption and investment policies for specific HARA utility functions are obtained and the economic analysis for the market in two regimes switching is made.

关 键 词：机制转换 最优消费投资 马尔可夫链 红利率 HJB方程 

分 类 号：O211.63[理学—概率论与数理统计] F224.11[理学—数学]