| 固定消费模式下的最优投资决策 |
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| 引用本文： | 明宗峰,郭文旌.固定消费模式下的最优投资决策[J].华南理工大学学报(自然科学版),2005,33(2):94-98. |
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| 作者姓名： | 明宗峰 郭文旌 |
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| 作者单位： | 华南理工大学,数学科学学院,广东,广州,510640;南京财经大学,金融学院,江苏,南京,210003 |
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| 基金项目： | 国家自然科学基金资助项目(70271021) |
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| 摘 要： | 在均值-方差框架下研究了一个带有固定消费模式的最优投资组合问题．把现金流分成两部分来考虑：一部分保证消费的正常进行，一部分用于投资．假设投资者的消费是时间的连续函数或者分段连续函数，应用线性二次随机控制的方法得到了这两种情形下的最优投资决策和有效前沿．最后，分析了消费对投资决策及有效前沿的影响。
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| 关 键 词： | 固定消费模式 投资组合选择 M-V模型 线性二次随机控制 |
| 文章编号： | 1000-565X(2005)02-0094-05 |
| 修稿时间： | 2004年7月8日 |
Optimal Investment Decision in the Fixed Consumption Style |
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| Ming Zong-feng,GUO Wen-jing.Optimal Investment Decision in the Fixed Consumption Style[J].Journal of South China University of Technology(Natural Science Edition),2005,33(2):94-98. |
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| Authors: | Ming Zong-feng GUO Wen-jing |
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| Institution: | Ming Zong-feng 1 Guo Wen-jing 2 |
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| Abstract: | An optimal portfolio selection problem in the fixed consumption style is investigated under the mean-variance framework. In this investigation, the cash flow is divided into two parts: one is used to keep the fixed consumption, the other is used to the investment. Then, with the assumption that the consumption of an investor is the continuous or piecewise continuous function of time, the corresponding optimal investment decision and the effective frontier are derived by using the stochastic linear-quadratic control. Finally, the influence of consumption on the investment decision and the efficient frontier are analyzed. |
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| Keywords: | fixed consumption style portfolio selection M-V model stochastic linear-quadratic control |
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