二层次消费与投资决策优化动态规划模型

在动态多阶段情形,投资者面临的环境不仅只有投资环境,还包括消费环境.投资者关于投资与消费的决策具有层次性.因为消费事关人的生存需要,是优先要考虑的问题,且投资的最终目的还是为了消费,所以使消费最大化应是高一层次的目标,而使投资最大化则应是次一级的目标.因此,试图建立一个二层次消费与投资决策优化动态规划模型,以便更好地模拟现实世界的情况.讨论了该模型的动态决策过程和最优解的性质.

Two-Level Dynamic Programming Model of Consumption and Investment Decision Optimization

Under the circumstances of dynamic multiple periods,an investor not only has to face the investing environment,but also has to face the consuming environment.An investor′s decision of investment and consumption has levels of structure.Because a person′s consuming concerns his demand of existence and is his priority of considerations,and the final purpose of his investing is still for the sake of his consumption,making his consumption maximum should be his first-degree arm while making his investment maximum should be his second-degree arm.Therefore,a two-level dynamic programming model of an investor′s consumption and investment decision optimization was tried to establish,in order to better imitate the realistic world.The dynamic decision process of that model and the characters of its optimal solutions were discussed.