Optimal Investment and Consumption Model with One Factor

被引：0
|
作者：
Dong, Jiuying [1 ]
机构：
[1] Jiangxi Univ Finance & Econ, Coll Informat Technol, Nanchang 330013, Peoples R China
来源：
INTERNATIONAL CONFERENCE ON MANAGEMENT OF E-COMMERCE AND E-GOVERNMENT, PROCEEDINGS | 2008年
关键词：
D O I：
10.1109/ICMECG.2008.38
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The optimal portfolio problem for a bank account, single risky stock is developed. The investment objective is maximizing the utility of the investor's consumption and terminal wealth. The problem has been solved by the stochastic dynamic programming principle. For the constant relative risk aversion utility case, the explicitly optimal investment consumption strategies are obtained. A numerical example is presented.
引用
收藏
页码：273 / 276
页数：4
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