带有劳动收入的最优消费和投资问题研究进展  

Research advances on optimal consumption and portfolio issue with labor income

作　　者：梁勇[1] 费为银[1] 姜奎[1] 

机构地区：[1]安徽工程大学数理学院,芜湖241000

出　　处：《南京信息工程大学学报（自然科学版）》2016年第1期83-90,共8页Journal of Nanjing University of Information Science & Technology（Natural Science Edition）

基　　金：国家自然科学基金(71171003;71571001)

摘　　要：现代投资组合理论一直是金融工程中活跃的研究方向.首先阐述了消费-投资组合问题的研究现状,介绍了不同时期国内外学者的研究成果和方法,接着较为详细地论述了带有劳动收入的最优消费和投资组合问题并给出了所要研究的模型,即含有时变的投资机会和动态劳动收入的模型,最后给出所要研究模型在通胀环境和Knight不确定下的拓展框架.Modern portfolio theory has been the active research topic in financial engineering.In this paper,we explained the research situation of consumption-portfolio issue and introduced the main researchers and their study results as well as methods in different periods.Then we discuss the optimal consumption and portfolio problem with labor income in detail and give the model to be studied,namely the model including time varying investment opportunities and dynamic labor income.Finally,we give the expansion of the framework of the model under inflation and Knightian uncertainty.

关 键 词：投资组合 劳动收入 HJB方程 通货膨胀 Knight不确定 

分 类 号：O211.63[理学—概率论与数理统计] F830.9[理学—数学]