| 带交易费的终端资产和消费的期望贴现效用最大化 |
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| 引用本文： | 赵小艳,聂赞坎.带交易费的终端资产和消费的期望贴现效用最大化[J].高校应用数学学报(A辑),2005,20(1):17-23. |
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| 作者姓名： | 赵小艳 聂赞坎 |
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| 作者单位： | 西安交通大学,理学院统计金融系,陕西西安,710049 |
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| 摘 要： | 讨论带有一定比例交易费的关于贴现消费和贴现终端资产的期望效用最大化问题，在假定T时刻将资金全部转到银行中，利用对偶方法，求得最优消费c(t)和最大的终端财富X(T )．
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| 关 键 词： | 终端资产 消费 效用函数 对偶 贴现因子 交易费 |
| 文章编号： | 1000-4424(2005)01-0017-07 |
Expected discounted utility maximization from consumption and terminal wealth with transaction costs |
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| ZHAO Xiao-yan,NIE Zan-kan.Expected discounted utility maximization from consumption and terminal wealth with transaction costs[J].Applied Mathematics A Journal of Chinese Universities,2005,20(1):17-23. |
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| Authors: | ZHAO Xiao-yan NIE Zan-kan |
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| Abstract: | This paper discusses the problem of expected discounted utility maximization from terminal wealth and consumption with proportional transaction costs.Under the condition that at time T all the funds are transferred to the bank account, the optimal consumption (t) and the maximized terminal wealth (T+) are found by using the dual theory. |
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| Keywords: | terminal wealth consumption utility function duality discount factor transaction costs |
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