| 带有交易成本和红利的消费投资模型值函数性质的研究 |
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| 引用本文： | 梁勇,费为银,刘宏建.带有交易成本和红利的消费投资模型值函数性质的研究[J].安徽工程科技学院学报,2009,24(2). |
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| 作者姓名： | 梁勇 费为银 刘宏建 |
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| 作者单位： | 安徽工程科技学院应用数理系,安徽芜湖,241000 |
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| 基金项目： | 国家重点基础研究发展规划(973计划)，国家自然科学基金，安徽省自然科学基金 |
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| 摘 要： | 利用HJB方程粘性解理论.考虑带有红利收益和交易成本后,对现有最优消费投资模型作了推广,研究了值函数的凸性,连续性和齐次等性质,并给出了值函数的上界,这些性质有助于进一步研究投资者在带有红利和交易成本情形下的最优消费投资策略.
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| 关 键 词： | 交易成本 偿偾力区域 HJB方程 值函数 红利 |
Research on properties of value function for a model of optimal investment and consumption with transaction costs and dividend |
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| LIANG Yong,FEI Wei-yin,LIU Hong-jian.Research on properties of value function for a model of optimal investment and consumption with transaction costs and dividend[J].Journal of Anhui University of Technology and Science,2009,24(2). |
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| Authors: | LIANG Yong FEI Wei-yin LIU Hong-jian |
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| Institution: | LIANG Yong,FEI Wei-yin,LIU Hong-jian (Dept of Appl.Math.& Phy.,Anhui University of Technology , Science,Wuhu 241000,China) |
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| Abstract: | In light of the theory of viscosity solutions to Hamilton-Jacobi-Bellman equations,the model of optimal investment and consumption with transaction costs and dividend is discussed.The concavity,continuity and homotheticity of the value function are studied.The upper bounds of value function for our model is characterized.The obtained properties will be helpful for establishing a strategy of optimal investment and consumption with transaction costs and dividend. |
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| Keywords: | transaction cost solvency region HJB equation value function dividend |
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