摘要
在金融市场上，局部无风险的债券与高风险的股票价格瞬息万变，本文给出了债券和股票价格的随机模型，该模型反映了价格与债券的利率ｒ（ｔ），股票的升值率ｂ（ｔ）及扩散矩阵σ（ｔ）等的联系。当投资者同时参与消费时，考虑到效用函数Ｕ及无穷分段的折扣函数β（ｔ），在ｒ、ｂ、σ为常值的条件下。
Let us consider a market in which assets (or 'securities') are traded continuously. One of the assets is called the bond, the remaining assets called stocks being risky. Their prices are related to the interest rate process r(t), as well as the vector of mean rates of return b(t) and the dispersion matrix σ(t). In we have studied the investors' optimal consumption and investment (π,c) processes with general function β(t) and r(t)≡r, b(t)≡b,σ(t)≡σ. The conclusions of this paper are more general than conclusions and provide useful formulas for investors.
出处
《安徽工程大学学报》
CAS
1996年第2期20-25,共6页
Journal of Anhui Polytechnic University
关键词
随机微分方程
随机控制
最优消费投资
效用函数
Stochastic Differential Equation
Stochastic Control
Optimal consumption and Investment
Utility Function
