摘要
考虑了容许借贷的消费投资决策问题 .投资者选择债券和带有红利回报的风险股票 ,在效用最大化的标准下 ,研究了最优消费投资策略 .最后就 HARA效用函数提供了最优策略 .
This paper considers a consumption investment decision problem. The investor selects a riskless bond and a risk stock with dividend payment. A consumption investment policy is studied for maximizating total discounted expected utility. At last, we provide optimal policies in HARA case.
出处
《应用数学》
CSCD
2000年第2期14-16,共3页
Mathematica Applicata
关键词
随机控制
容许借贷
消费投资策略
金融市场
Stochastic control
Optimal consumption investment
Utility function
Dividend rate
