| 固定消费/收入模型下的M-V最优投资组合选择 |
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| 引用本文： | 刘晓娟,刘三阳.固定消费/收入模型下的M-V最优投资组合选择[J].应用数学,2005(Z1). |
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| 作者姓名： | 刘晓娟 刘三阳 |
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| 作者单位： | 上海电力学院信息与计算科学系 西安电子科技大学理学院 上海 陕西西安 |
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| 摘 要： | 本文研究了一个有固定消费/收入现金流的连续时间的最优投资组合选择问题.把投资者的财富用分离的思想来考虑.将投资者的财富分成两部分,消费/收入部分和投资部分,从而将原问题转化为不含消费/收入现金流的M-V投资组合选择的辅助问题.证明了辅助问题的最优投资策略就是原问题的最优策略,得到了原问题的最优策略及有效前沿并分析了消费/收入对投资的影响.
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| 关 键 词： | 投资组合选择 M-V模型 固定消费/收入 有效前沿 |
Optimal M-V Portfolio Selection with Fixed Consumption-income Styles |
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| LIU Xiao-juan,LIU San-yang.Optimal M-V Portfolio Selection with Fixed Consumption-income Styles[J].Mathematica Applicata,2005(Z1). |
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| Authors: | LIU Xiao-juan LIU San-yang |
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| Institution: | LIU Xiao-juan~1,LIU San-yang~2 |
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| Abstract: | A continuous-time optimal portfolio selection problem with the fixed consumption-income is studied.Considering the separated methods,the investor's wealth is divided into two part:one keeping the fixed consumption,the other used to invest.So the initial problem is translated into an assistant problem without consumption-income flow.The conclusion of the assistant problem's optimal portfolio is that of the primary problem is proved.And the optimal strategy and the efficient frontier of the original model are obtained.The effection of the consumpiton-income on investment is analyzed. |
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| Keywords: | Portfolio selection M-V model Fixed consumption-income Efficient frontier |
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