| 在约束条件下考虑红利提前退休的最优投资组合 |
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| 引用本文： | 曹安照,田丽,周明龙,苏凯,程晶晶.在约束条件下考虑红利提前退休的最优投资组合[J].重庆工商大学学报(自然科学版),2012,29(9):8-13. |
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| 作者姓名： | 曹安照 田丽 周明龙 苏凯 程晶晶 |
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| 作者单位： | 安徽工程大学管理工程学院,安徽芜湖,241000 |
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| 基金项目： | 国家自然科学基金，安徽省自然科学基金 |
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| 摘 要： | 分别研究了在退休期限和借贷约束条件下提前退休的最优投资组合问题,其中考虑风险资产派发红利的情形;退休期限和借贷约束条件会使代理人相应地改变投资策略;运用了随机控制等方法,得到了代理人在约束条件下最优消费投资组合策略显示解.
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| 关 键 词： | 最优投资组合 退休期限 借贷约束 红利 随机控制 |
Optimal Portfolio Model with Earlier Retirement and Dividend Payments under Constraint Conditions |
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| CAO An-zhao,TIAN Li,ZHOU Ming-long,SU Kai,CHENG Jing-jing.Optimal Portfolio Model with Earlier Retirement and Dividend Payments under Constraint Conditions[J].Journal of Chongqing Technology and Business University:Natural Science Edition,2012,29(9):8-13. |
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| Authors: | CAO An-zhao TIAN Li ZHOU Ming-long SU Kai CHENG Jing-jing |
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| Institution: | (Management College of Engineering,Anhui Polytechnic University,Anhui Wuhu 241000,China) |
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| Abstract: | This paper studies optional porfolio model for earlier retirement problem under retirement age and borrow/lend constraint conditions resprctively through considering the case of the dividend-payment of risk assets.Retirement age and borrow/lend constraint conditions will change the agent''s corresponding investment strategy.In this article,we use the method such as stochastic control and so on and obtain the explicit solution to optimal consumption-investment portfolio of thr agent under constraint condition. |
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| Keywords: | optimal investment portfolio retirement age borrow/lend constraint dividend stochastic control |
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