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A DIRECT METHOD IN OPTIMAL PORTFOLIO AND CONSUMPTION CHOICE
作者姓名:WUZHEN  XUWENSHENG
作者单位:WU ZHEN AND XU WENSHENG (Department of Mathematics,Shandong University,Jinan 250100.)(Department of Applied Mathematics,Zhejiang University,Hangzhou 310027.)
摘    要:In this paper, we use a direct method to solve the optimal portfolio and consumption choice problem in the security market for a specific case, in which the utility function is of a given homogenous form, i.e. the so-called CRRA case. The idea comes from the completion technique ever used in LQ optimal control.

关 键 词:直接法  消费选择  有效函数  齐次方程
收稿时间:7 April 1995

A direct method in optimal portfolio and consumption choice
WUZHEN XUWENSHENG.A DIRECT METHOD IN OPTIMAL PORTFOLIO AND CONSUMPTION CHOICE[J].Applied Mathematics A Journal of Chinese Universities,1996,11(3):349-354.
Authors:Wu Zhen  Xu Wensheng
Institution:(1) Department of Mathematics, Shandong University, 250100 Jinan;(2) Department of Applied Mathematics, Zhejiang University, 310027 Hangzhou
Abstract:In this paper we use a direct method to solve the optimal portfolio andconsumption choice problem in the security market for a specific case,in which theutility function is of a given homogenous form, i.e. the so-called CRRA case. The ideacomes from the completion technique ever used in LQ optimal control.
Keywords:Optimal strategy  portfolio  consumption  security market  
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