| 部分信息情形下利率非零时的最优消费投资模型研究 |
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| 引用本文： | 鲍品娟,费为银,胡慧敏.部分信息情形下利率非零时的最优消费投资模型研究[J].大学数学,2010,26(5). |
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| 作者姓名： | 鲍品娟 费为银 胡慧敏 |
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| 基金项目： | 国家973项目，国家自然科学基金，安徽省自然科学基金，安徽省高校自然科学基金，安徽省教育厅重点教研项目 |
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| 摘 要： | 考虑了部分信息情形下市场利率非零时的最优消费投资模型,讨论了相应的最优消费投资策略.最后探讨了当扩散系数可逆且漂移系数服从已知分布时的贝叶斯特例,给出了最优交易策略的明确表达式.
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| 关 键 词： | 股票价格过程 随机微分方程 消费和投资 效用最大化 部分信息 |
Study on Optimal Investment/Consumption Strategy Model with Non-zero Interest Rate under Partial Information |
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| BAO Pin-juan,FEI Wei-jin,HU Hui-min.Study on Optimal Investment/Consumption Strategy Model with Non-zero Interest Rate under Partial Information[J].College Mathematics,2010,26(5). |
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| Authors: | BAO Pin-juan FEI Wei-jin HU Hui-min |
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| Abstract: | This paper extends the classical optimal trading strategy model to the case of partial information given the non-zero interest rate.The explicit expression on the optimal trading strategy.is given for the Bayesian example,when the dispersion coefficient is afixed invertible matrix and the drift vector is an F0-measurable,unobserved random variable with known distribution. |
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| Keywords: | stock price process stochastic differential equation inventment and consumption utility maximization partial information |
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