| 考虑红利支付与提前退休的最优投资组合 |
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| 引用本文： | 苏凯,费为银,朱永王. 考虑红利支付与提前退休的最优投资组合[J]. 应用数学与计算数学学报, 2012, 26(1): 77-84 |
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| 作者姓名： | 苏凯 费为银 朱永王 |
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| 作者单位： | 安徽工程大学金融工程系,安徽芜湖,241000 |
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| 基金项目： | 国家自然科学基金资助项目(71171003);安徽省自然科学基金资助项目(090416225);安徽省高校自然科学基金资助项目(KJ2010A037) |
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| 摘 要： | 研究了在经济代理人通过不可逆退休时间选择来调整劳动时间框架下的最优消费和投资问题,主要考虑风险资产派发红利的情形.运用随机控制方法,求解使得消费-闲暇预期效用最大化的最优策略.最优投资组合及最优退休时刻表明,代理人在为提前退休积累财富的同时,也能最佳享受消费和闲暇所带来的快乐.
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| 关 键 词： | 最优投资组合 消费与闲暇的效用函数 最优退休时刻 随机控制 红利 |
Optimal portfolio model with dividend payments and early retirement |
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| SU Kai,FEI Wei-yin,ZHU Yong-wang. Optimal portfolio model with dividend payments and early retirement[J]. Communication on Applied Mathematics and Computation, 2012, 26(1): 77-84 |
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| Authors: | SU Kai FEI Wei-yin ZHU Yong-wang |
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| Affiliation: | (Department of Financial Engineering,Anhui Polytechnic University, Wuhu 241000,Anhui Province,China) |
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| Abstract: | Optimal consumption and portfolio choices in a framework where investors adjust their labor supply through an irreversible choice of retirement time are studied.Consider the case of the dividend-payment of risk assets when the agent makes portfolio selections.By using the method of stochastic control,the expected utility maximization of consumption-leisure utility is discussed,and the optimal strategies are obtained.Optimal portfolio and optimal retirement time show that the agent can not only accumulate wealth for the early retirement,but also enjoy the consumption and leisure. |
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| Keywords: | optimal portfolio utility function of consumption and leisure optimal retirement time stochastic control dividend |
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