| 考虑税收和交易费用的最优投资消费模型研究 |
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| 引用本文： | 陈彩霞,黄大荣,戴金辉. 考虑税收和交易费用的最优投资消费模型研究[J]. 辽宁大学学报(自然科学版), 2004, 31(4): 320-323 |
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| 作者姓名： | 陈彩霞 黄大荣 戴金辉 |
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| 作者单位： | 辽宁大学,数学系,辽宁,沈阳,110036;重庆交通学院,计算机学院,重庆,400074 |
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| 基金项目： | 重庆交通学院青年科研基金项目(批准号200408) |
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| 摘 要： | 研究了不完备金融市场上有随机收入、红利支付、税收和交易费用的投资决策问题的最优投资和消费问题.利用随机分析和粘性解的技术,得出值函数是HJB方程的光滑解;证明了最优投资策略、最优消费策略是存在的,并用反馈形式给出了最优消费投资策略.
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| 关 键 词： | 随机微分方程 最优投资消费策略 随机控制 税收 交易费用 粘性解 |
| 文章编号： | 1000-5846(2004)04-0320-04 |
Study on Optimal Investment and Consumption Model Considering Tax and Transaction Fee in Incomplete Markets |
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| CHEN Cai-xia ,HUANG Da-rong ,DAI Jin-hui. Study on Optimal Investment and Consumption Model Considering Tax and Transaction Fee in Incomplete Markets[J]. Journal of Liaoning University(Natural Sciences Edition), 2004, 31(4): 320-323 |
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| Authors: | CHEN Cai-xia HUANG Da-rong DAI Jin-hui |
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| Affiliation: | CHEN Cai-xia 1,HUANG Da-rong 2,DAI Jin-hui 1 |
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| Abstract: | Researching the optimal investment and consumption problem when there are a stochastic income, dividend, tax and transaction fee in incomplete markets. With stochastic analysis and viscosity solution techniques, we've obtained that value function of the stochastic problem is a smooth solution of the corresponding HJB equation. The optmal strategy is proved and presented in feedback form. |
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| Keywords: | stochastic equation optimal investment and consumption strategy stochastic control tax transaction fee viscosity solution. |
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