| 一类组合受约束的最优化问题及其最优解 |
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| 引用本文： | 廖长高,李贤平,徐萍.一类组合受约束的最优化问题及其最优解[J].应用数学,2003,16(2):118-123. |
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| 作者姓名： | 廖长高 李贤平 徐萍 |
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| 作者单位： | 复旦大学统计运筹系,上海,200433 |
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| 摘 要： | 这篇文章中，我们建立了资产组合在受到约束时的期望效用优化问题，在我们特殊的指数效用函数下，我们发现最终的决策不依赖于具体的贴现函数，在文章的结尾部分，我们给出了几类常见约束下的最优消费和资产组合决策。
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| 关 键 词： | 资产组合 随机动态规划 风险资产 对偶问题 辅助市场 可容许策略 约束 指数效用函数 期望效用优化 |
A Class of Optimization Problems with Portfolio Constraints and the Corresponding Optimal Solution |
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| LIAO Chang gao,LI Xian ping,XU Ping.A Class of Optimization Problems with Portfolio Constraints and the Corresponding Optimal Solution[J].Mathematica Applicata,2003,16(2):118-123. |
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| Authors: | LIAO Chang gao LI Xian ping XU Ping |
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| Abstract: | In the paper,we attempt to illustrate a continuous time constrained portfolio and consumption optimization problem within a specific power utility function.We find that the final decision is obviously not dependent on the discount functions,which makes us more surprised.Meanwhile,we also discuss a few common constrains imposed upon portfolio choices and write out the corresponding optimal strategies. |
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| Keywords: | Stochastic dynamic programming Dual problem Auxiliary market Admissible strategy |
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