| CIR利率模型中基于对数效用的投资组合最优化问题 |
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| 引用本文： | 李春丽,蔡玉杰. CIR利率模型中基于对数效用的投资组合最优化问题[J]. 数学杂志, 2015, 35(6): 1297-1306 |
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| 作者姓名： | 李春丽 蔡玉杰 |
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| 作者单位： | 冶金工业过程系统科学湖北省重点实验室,武汉科技大学, 湖北 武汉 430081,河南城建学院数理学院, 河南 平顶山 467036 |
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| 基金项目： | Supported by the Natural Foundation of Hebei Province(A2012203047) and Natural Science foundation of Tangshan Normal University(2014D09). |
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| 摘 要： | 本文研究了CIR 利率模型中基于对数效用的最优长期投资问题和无限时间域上的最优折算消费问题. 通过求解相关的动态规划方程, 获得了这两个最优化问题的最优策略及值函数的明确表现形式.
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| 关 键 词： | Cox-Ingersoll-Ross利率 对数效用 最优投资 最优折算消费 动态规划方程 |
| 收稿时间： | 2014-03-17 |
| 修稿时间： | 2014-06-04 |
PORTFOLIO OPTIMIZATION PROBLEMS WITH LOGARITHMIC UTILITY IN CIR INTEREST RATE MODEL |
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| LI Chun-li and CAI Yu-jie. PORTFOLIO OPTIMIZATION PROBLEMS WITH LOGARITHMIC UTILITY IN CIR INTEREST RATE MODEL[J]. Journal of Mathematics, 2015, 35(6): 1297-1306 |
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| Authors: | LI Chun-li and CAI Yu-jie |
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| Affiliation: | Hubei Province Key Laboratory of Systems Science in Metallurgical Process, Wuhan University of Science and Technology, Wuhan 430081, China and School of Math. and Physics, Henan University of Urban Construction, Pingdingshan 467036, China |
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| Abstract: | In this paper, we study the optimal long term investment problem and optimal discounted consumption problem on infinite time horizon with logarithmic utility in CIR interest rate model. By solving the corresponding dynamic programming equations, we obtain the optimal strategies and value functions for the two optimization problems in explicit form. |
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| Keywords: | Cox-Ingersoll-Ross interest rate logarithmic utility optimal investment opti-mal discounted consumption dynamic programming equation |
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