具有交易费用的最优投资消费问题的一种数值算法

上海大学学报(自然科学版)

具有交易费用的最优投资消费问题的一种数值算法

马堃,朱正佑

上海大学上海市应用数学和力学研究所，上海 200072

收稿日期:2006-10-17 修回日期:1900-01-01 出版日期:2008-02-28 发布日期:2008-02-28
通讯作者: 朱正佑

A Numerical Method for Optimal Investment and Consumption with Transaction Costs

MA Kun, ZHU Zheng-you

Shanghai Institute of Applied Mathematics and Mechanics, Shanghai University, Shanghai 200072, China

Received:2006-10-17 Revised:1900-01-01 Online:2008-02-28 Published:2008-02-28
Contact: ZHU Zheng-you

摘要/Abstract

摘要： 该文对具有交易费用的最优投资消费问题进行了讨论.在得出了该问题的HJB方程及其变分不等式后，给出了等价的自由边界问题，并构造了一种求解该问题的数值计算方法，它减少了已有算法的计算工作量.

关键词: 变分不等式, 交易费用, 自由边界

Abstract: An optimal consumption and investment policy with transaction costs is discussed in this paper. After the HJB equation of this problem and the variational inequality are obtained, the equivalent free boundary problem is proposed, and a numerical method for solving the problem established. The new methods can reduce workload compared to a former method.

Key words: free boundary, variational inequality, transaction costs

中图分类号:

马堃;朱正佑. 具有交易费用的最优投资消费问题的一种数值算法[J]. 上海大学学报(自然科学版).

MA Kun;ZHU Zheng-you. A Numerical Method for Optimal Investment and Consumption with Transaction Costs[J]. Journal of Shanghai University（Natural Science Edition）.