| 可卖空股票和借贷的最优投资策略 |
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| 引用本文： | 杨德生.可卖空股票和借贷的最优投资策略[J].同济大学学报(自然科学版),2003,31(2):244-245,252. |
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| 作者姓名： | 杨德生 |
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| 作者单位： | 同济大学,应用数学系,上海,200092 |
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| 基金项目： | 国家自然科学基金资助项目 (10 1710 78) |
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| 摘 要： | 考虑一类投资消费模型。投资者可连续投资于无风险债券和风险股票，假定存贷利率不同，并且可允许卖空股票。投资者的目的是使来自消费的贴现效用的期望值最大。利用最优控制的方法，得到投资者的最优投资策略。
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| 关 键 词： | 股票 借贷 最优投资策略 最优投资消费模型 HJB方程 最优控制 金融市场 允许卖空 债券 |
| 文章编号： | 0253-374X(2003)02-0244-02 |
Optimal Investment-consumption Model with Borrowing and Short-selling |
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| YANG De-sheng.Optimal Investment-consumption Model with Borrowing and Short-selling[J].Journal of Tongji University(Natural Science),2003,31(2):244-245,252. |
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| Authors: | YANG De-sheng |
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| Abstract: | This paper considers an investment and consumption model for an investor.The investor trades his wealth continuously between a riskless bond and a risk stock.Short selling and borrowing at rate exceeding the risk-free rate on the bond are allowed.The investor's objective is to maximize the total expected discounted utility of consumption over an infinite time interval.We obtain the optimal trading policy in terms of the optimal control approach. |
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| Keywords: | optimal investment consumption HJB equation optimal control |
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