摘要
本文研究了投资者在通胀环境下基于随机微分效用的最优消费和投资问题.首先对投资机会集进行描述,并用随机微分效用函数刻画了投资者的偏好.其次利用动态规划原理,考虑带通胀的最优消费和投资问题,并建立相应的HJB方程.接下来,根据假设的效用函数,推导出最优消费和投资策略,并分析参数对投资策略的影响.
This paper studies the problem of optimal consumption and portfolio with stochastic differential utility un- der inflation. Firstly, we describe the investment opportunity set, and the investor＇ s preference with stochastic differ- ential utility. Secondly, by using the principle of dynamic programming we build the HJB equation of the optimal con- sumption and portfolio under inflation. Thirdly, the policy of the optimal consumption and portfolio is derived by the HJB equation and the effect of the parameters on investor＇ s decisions is analyzed.
出处
《数学理论与应用》
2012年第4期83-88,共6页
Mathematical Theory and Applications
基金
国家自然科学基金资助项目(71171003
71271003)
教育部人文社会科学规划基金资助项目(12YJA790041)
安徽省自然科学基金资助项目(090416225
1208085MG116)
安徽省高校自然科学基金资助项目(KJ2010A037)
关键词
通胀
随机微分效用
HJB方程
最优消费和投资
Inflation Stochastic Differential Utility HJB Equation Optimal Consumption and Portfolio
