| 考虑红利支付的最优消费投资模型研究 |
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| 引用本文： | 费为银.考虑红利支付的最优消费投资模型研究[J].安徽工程科技学院学报,1997(4). |
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| 作者姓名： | 费为银 |
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| 作者单位： | 安徽机电学院 |
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| 摘 要： | 研究了金融市场上证券投资的随机模型。证券价格的波动行为用随机微分方程加以刻划。考虑红利支付过程后，探讨了投资商的最优消费与投资的一般特征。并就模型系数为常系数情形导出反馈形式的最优消费与投资公式。
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| 关 键 词： | 随机微分方程 随机控制 最优消费与投资 红利率 效用函数 |
Study on Consumption and Investment Model Considering Dividend Payment |
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| Fei Weiyin.Study on Consumption and Investment Model Considering Dividend Payment[J].Journal of Anhui University of Technology and Science,1997(4). |
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| Authors: | Fei Weiyin |
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| Institution: | Anhui Institute of Mechanical and Electrical Engineering Wuhu 241000 |
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| Abstract: | This paper deals with the stochastic Model of the securities investment on a financial market. The securities prices are characterized by stochastic differential equations. Considering divident payment process, we discuss the general behavior of an agent's optimal consumption/ investment, and obtain the optimal consumption/ investment formula on the model with constant coeficients. |
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| Keywords: | stochastic differential equation stochastic control optimal consumption and investment dividend rates utility function |
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