One Kind of Corporate International Optimal Investment and Consumption Choice Problem

被引：2
|
作者：
Huang Zongyuan [1 ]
Wu Zhen [1 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China
来源：
PROCEEDINGS OF THE 27TH CHINESE CONTROL CONFERENCE, VOL 3 | 2008年
关键词：
Investment Choice; Dynamic Programming Principle; Hamilton-Jacobi-Bellman Equations;
D O I：
10.1109/CHICC.2008.4605748
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, we study a the specific Hyperbolic Absolute Risk Aversion (HARA) case of corporate international optimal Portfolio and consumption choice problem. The investor can invest his wealth bond (bank account). On the other hand, he can invest his money to a real project with production in a foreign country. Using the celebrated dynamical programming principle method we provide the explicit optimal investment and consumption solution and give some simulation results to illustrates the influence of the volatility parameters on the optimal choice.
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页码：603 / 606
页数：4
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