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动态自融资与消费策略的多目标控制模型
引用本文:秦学志,吴冲锋.动态自融资与消费策略的多目标控制模型[J].应用数学与计算数学学报,2001,15(1):23-28.
作者姓名:秦学志  吴冲锋
作者单位:上海交通大学现代金融研究中心,200030
基金项目:国家自然科学基金(79790130)和教育部跨世纪人才基金资助.
摘    要:在不考虑交易费用的前提下,本文研究了投资者最优动态自融资与消费策略,建立了两种多目标控制模型,分别考虑了使投资者的累积消费效用与/或拥有的财富的效用较大风险较小两个目标。对传统的侧重于单纯追求消费或财富效用达到极大的方法进行了改进,给出了相关分析结果。

关 键 词:动态自融资  消费策略  多目标控制模型  无交易费用  随机微分方程  Brown运动
修稿时间:2000年6月14日

Multi-objective Control Models for Determining the Dynamic Self-financing and Consumption Strategies
XUEZHI QIN CHONGFENG WU Inatitute of Contemporary Finance,ShangHai JiaoTong University,O.Multi-objective Control Models for Determining the Dynamic Self-financing and Consumption Strategies[J].Communication on Applied Mathematics and Computation,2001,15(1):23-28.
Authors:XUEZHI QIN CHONGFENG WU Inatitute of Contemporary Finance  ShangHai JiaoTong University  O
Institution:XUEZHI QIN CHONGFENG WU Inatitute of Contemporary Finance,ShangHai JiaoTong University,2O0030
Abstract:On the condition of no consideration of transaction costs, this paper studies the optimaldynamic self-financing and consumption strategies. Two kinds of models are established for thisproblem. In each of these models, two kinds of objectives are considered. One is about the optimalutility of the self-financing and consumption strategies, and the other is about the risk of theinvestment, i.e. to make the utility maximum and the risk minimum. Our study improves theclassical methods which only consider the maximum utility.
Keywords:dynamic  self-financing  consumption  multi-objective  control    
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