The Corporate Optimal Portfolio and Consumption Choice Problem in Trade Project with Borrowing Rate Higher than Deposit Rate

被引：0
|
作者：
Zhang, Panpan [1 ]
机构：
[1] Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China
来源：
PROCEEDINGS OF THE 38TH CHINESE CONTROL CONFERENCE (CCC) | 2019年
关键词：
Consumption/Investment Optimization; Dynamic Programming Principle; HJB Equation; HARA;
D O I：
10.23919/chicc.2019.8866039
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper is concerned with a kind of optimal portfolio and consumption choice problem, where an investor can invest his wealth in a trade project and foreign exchange deposit. The trade project earns profit by buying the merchandise and selling it with a higher price. The bank pays at an interest rate for any deposit, and vice takes at a large rate for any loan. The optimal strategy is obtained by Hamilton-Jacobi-Bellman (HJB) equation, which is derived from dynamic programming principle. For the specific Hyperbolic Absolute Risk Aversion (HARA) case, we get the explicit form of optimal portfolio and consumption solution, and we give some simulation results.
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页码：1375 / 1380
页数：6
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