An optimal investment/consumption problem with higher borrowing rate

被引：0
|
作者：
Xiongwei W. [1 ]
Wensheng X. [2 ,3 ]
Shuping C. [4 ]
机构：
[1] Department of Applied Mathematics, Zhejiang University, Hangzhou
[2] Department of Applied Mathematics, Zhejiang University, Hangzhou
[3] Payment and Science Technology Department, People's Bank of China, Baijing
[4] Department of Applied Mathematics, Zhejiang University, Hangzhou
来源：
Applied Mathematics-A Journal of Chinese Universities | 1998年 / 13卷 / 1期
基金：
中国国家自然科学基金;
关键词：
Borrowing rate; Consumption; Interest rate; Investment; Stock market;
D O I：
10.1007/s11766-998-0010-x
中图分类号：
学科分类号：
摘要：
In this paper, optimal investment and consumption decisions for an optimal choice problem in infinite horizon are considered, for an investor who has available a bank account and a stock whose price is a log normal diffusion. The bank pays at an interest rate r for any deposit, and takes at a larger rate r' for any loan. As in the paper of Xu Wensheng and Chen Shuping in JAMS (B), where an analogous problem in finite horizon is studied, optimal strategies are obtained via Hamilton-Jacobi-Bellman (HJB) equation which is derived from dynamic programming principle. For the specific HARA case, i.e. (formula presented) this paper gets the optimal consumption and optimal investment in the form of (formula presented). This result coincides with the classical one under condition r'≡r. © 1998, Appl. Math. J. Chinese Univ. Ser. B. All rights reserved.
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页码：68 / 76
页数：8
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