| 一种有约束最优投资随机微分方程的构建 |
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| 引用本文： | 丘冠英.一种有约束最优投资随机微分方程的构建[J].鞍山科技大学学报,2009(4):387-390. |
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| 作者姓名： | 丘冠英 |
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| 作者单位： | 嘉应学院数学系; |
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| 摘 要： | 以确定最优的消费和投资策略为手段,在满足金融投资者一段时间内所拥有资产效用最大时,构建一种考虑存在交易费用和投资组合约束、更接近实际的、具有明显经济理论意义的随机微分方程,得出其最优解等结论,并对之进行了论证研究。
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| 关 键 词： | 随机微分方程 严格凹函数 最优解 投资效用 金融证券 自融资和消费策略 |
Stochastic differential equations of optimuization investment with constraints |
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| QIU Guan-ying.Stochastic differential equations of optimuization investment with constraints[J].Journal of Anshan University of Science and Technology,2009(4):387-390. |
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| Authors: | QIU Guan-ying |
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| Institution: | Department of Mathematics;Jiaying University;Meizhou 514015;China. |
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| Abstract: | This paper establishes a class of Stochastic differential equations by considering the constraint of the transactions cost and investment combination.The target is to determine the optimum consumption-investment strategy and maximize the finanial investor's utility at some time.So,the model is more close to practice and has more theory significance in economics analysis than exsiting ones.Finally,the paper gives the optimun solution and discuss the feasibility. |
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| Keywords: | Stochastic differential equations absolutely concave function optimum solution investment utility financial securities self-finance and consumption strategy |
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