有随机现金流时投资优化问题的显式解
O221.5%F830.59; 利用随机动态规划方法,研究了有随机现金流Yt的最优投资问题.假设Yt满足dYt=α(Xt)dt+β(Xt)dW2,其中Xt为投资者的总财富.不同于经典Merton模型的是,在新的目标函数max f,c P(τb＜τα| X0=x0)下,给出了最优投资策略的显式解.
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| Published in | 浙江大学学报（理学版） Vol. 32; no. 6; pp. 635 - 643 |
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| Main Authors | , |
| Format | Journal Article |
| Language | Chinese |
| Published |
浙江大学,经济学院,浙江,杭州,310027%浙江大学,数学系,浙江,杭州,310027
2005
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| Subjects | |
| Online Access | Get full text |
| ISSN | 1008-9497 |
| DOI | 10.3321/j.issn:1008-9497.2005.06.009 |
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| Abstract | O221.5%F830.59; 利用随机动态规划方法,研究了有随机现金流Yt的最优投资问题.假设Yt满足dYt=α(Xt)dt+β(Xt)dW2,其中Xt为投资者的总财富.不同于经典Merton模型的是,在新的目标函数max f,c P(τb＜τα| X0=x0)下,给出了最优投资策略的显式解. |
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| AbstractList | O221.5%F830.59; 利用随机动态规划方法,研究了有随机现金流Yt的最优投资问题.假设Yt满足dYt=α(Xt)dt+β(Xt)dW2,其中Xt为投资者的总财富.不同于经典Merton模型的是,在新的目标函数max f,c P(τb＜τα| X0=x0)下,给出了最优投资策略的显式解. |
| Author | 张小茜 李胜宏 |
| AuthorAffiliation | 浙江大学,经济学院,浙江,杭州,310027%浙江大学,数学系,浙江,杭州,310027 |
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| Author_FL | ZHANG Xiao-qian LI Sheng-hong |
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| Author_xml | – sequence: 1 fullname: 张小茜 – sequence: 2 fullname: 李胜宏 |
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| Keywords | 随机现金流 HJB方程 最优消费投资策略 |
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| Snippet | O221.5%F830.59; 利用随机动态规划方法,研究了有随机现金流Yt的最优投资问题.假设Yt满足dYt=α(Xt)dt+β(Xt)dW2,其中Xt为投资者的总财富.不同于经典Merton模型的是,在新的目标函数max f,c P(τb＜τα| X0=x0)下,给出了最优投资策略的显式解. |
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| Title | 有随机现金流时投资优化问题的显式解 |
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