Optimal investment and consumption with stochastic dividends

被引：4
|
作者：
Wang, Xikui [1 ]
Wang, Yan [2 ]
机构：
[1] Univ Manitoba, Dept Stat, Winnipeg, MB R3T 2N2, Canada
[2] Univ Manitoba, Dept Accounting & Finance, Winnipeg, MB R3T 5V4, Canada
来源：
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2010年 / 26卷 / 06期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Bandit processes; Bayesian framework; Poisson distribution; portfolio optimization;
D O I：
10.1002/asmb.823
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We use the statistical model of bandit processes to formulate and solve two kinds of optimal investment and consumption problems. The payoffs from the investment are dividend payments with fixed return rates, but the payment frequency is stochastic following a Poisson distribution. The financial market consists of assets which follow Poisson distributions with known or unknown intensity rates. Two kinds of consumption patterns are defined and the optimality of the myopic strategy, the Gittins index strategy, and the play-the-winner strategy are discussed. Copyright (C) 2009 John Wiley & Sons, Ltd.
引用
收藏
页码：792 / 808
页数：17
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