具有固定消费流的最优投资的CEV模型

上海大学学报(自然科学版)

具有固定消费流的最优投资的CEV模型

彭望祥，秦成林

上海大学理学院，上海 200444

收稿日期:2005-06-30 修回日期:1900-01-01 出版日期:1900-01-01 发布日期:1900-01-01
通讯作者: 秦成林

Optimal Portfolio Choice with Fixed Consumption under CEV Model

PENG Wang-xiang,QIN Cheng-lin

School of Sciences, Shanghai University, Shanghai 200444, China

Received:2005-06-30 Revised:1900-01-01 Online:1900-01-01 Published:1900-01-01
Contact: QIN Cheng-lin

摘要/Abstract

摘要：

利用随机控制方法、贝尔曼方程及最大值原理，研究了在具有固定消费流的CEV(Constant Clastic of Variance)模型下的最优投资问题，通过Lagendre变换求得此模型的Ricati方程形式，结构比较简单,得到一个反馈公式.作者的目标是期末财富效用最大化.该文的研究结论对个人投资、养老基金、保险公司的投资决策有一定的经济意义.

关键词: CEV模型, Lagendre变换, 固定消费流, 期末财富效用最大化, 随机控制

Abstract:

The method of stochastic control, Bellman equation and the maximum rules are used to settle down the problem of optimal portfolio choice with fixed consumption. A cyclic solution to the equation is obtained. The conclusion is economically meaningful for private investors, management of pension fund, and insurance companies in portfolio choice.

Key words: CEV model, fixed consumption, Lagendre change

, terminal wealth utility,

stochastic control

彭望祥;秦成林. 具有固定消费流的最优投资的CEV模型[J]. 上海大学学报(自然科学版).

PENG Wang-xiang;QIN Cheng-lin. Optimal Portfolio Choice with Fixed Consumption under CEV Model[J]. Journal of Shanghai University（Natural Science Edition）.