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随机市场下的最优投资消费策略

发表时间:2011-07-15  浏览量:1354  下载量:347
全部作者: 麻存义,严定琪
作者单位: 兰州大学数学与统计学院
摘 要: 主要考虑多周期效用最大投资消费问题,其中效用既受当期消费的影响又受前一期消费的影响。风险资产收益率服从一个马尔可夫过程,其状态表示市场所处的状况。运用动态规划原理,解出了最优投资消费策略的递推表达式。
关 键 词: 应用数学;马尔可夫链;投资消费;效用;动态规划
Title: The optimal investment-consumption strategy with stochastic market
Author: MA Cunyi, YAN Dingqi
Organization: School of Mathematics and Statistics, Lanzhou University
Abstract: In this paper, a multi-period investment-consumption problem that involves utility from both current and previous consumption is investigated. The random return of risky asset depends on the state of the market during any period where the market process is assumed to follow a Markov chain. An explicit expression is obtained for the optimal investment and consumption strategies by dynamic programming.
Key words: applied mathematics; Markov chain; investment-consumption; utility; dynamic programming
发表期数: 2011年7月第13期
引用格式: 麻存义,严定琪. 随机市场下的最优投资消费策略[J]. 中国科技论文在线精品论文,2011,4(13):1225-1230.
 
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