摘要
考虑淌费篮子价格部分可观察下通胀与红利支付对投资者最优消费投资的影响,利用HJB方程推导最优淌费投资策略,给出由三基金组成的修正的互助基金定理.在不变相对风险厌恶(CRRA)效用的特殊情形下,得到最优消费投资策略的显式解.
This paper considers optimal consumption and portfolio investment problems of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to inflation and dividend in the case of partially observed consumption basket prices. By using HJB equation, the optimal policy is derived, and the modified Mutual Fund Theorem consisting of three funds is obtained. In the particular case of relative risk-aversion （CRRA） utility, an explicit solution of the optimal consumption and portfolio policy is provided.
出处
《安徽工程大学学报》
CAS
2011年第2期74-79,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)
安徽省高校重点教学研究基金资助项目(2008jyxm070)
关键词
通胀
最优消费投资
HJB方程
CRRA效用
红利
inflation
optimal consumption and portfolio
HJB equation
CRRA utility
dividend
