Explicit solutions to an optimal portfolio problem with a stochastic cash flow(有随机现金流时投资优化问题的显式解)
利用随机动态规划方法，研究了有随机现金流Yt的最优投资问题.假设Yt满足dYt=α(Xt）dt+β(Xt)dW2，其中Xt为投资者的总财富.不同于经典Merton模型的是，在新的目标函数下，给出了最优投资策略的显式解.
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| Format: | Article |
| Language: | zho |
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Zhejiang University Press
2005-11-01
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| Series: | Zhejiang Daxue xuebao. Lixue ban |
| Subjects: | |
| Online Access: | https://doi.org/zjup/1008-9497.2005.32.6.635-637 |
| _version_ | 1797236377437339648 |
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| author | ZHANGXiao-qian(张小茜) LISheng-hong(李胜宏) |
| author_facet | ZHANGXiao-qian(张小茜) LISheng-hong(李胜宏) |
| author_sort | ZHANGXiao-qian(张小茜) |
| collection | DOAJ |
| description | 利用随机动态规划方法，研究了有随机现金流Yt的最优投资问题.假设Yt满足dYt=α(Xt）dt+β(Xt)dW2，其中Xt为投资者的总财富.不同于经典Merton模型的是，在新的目标函数下，给出了最优投资策略的显式解. |
| first_indexed | 2024-04-24T17:02:53Z |
| format | Article |
| id | doaj.art-8360ec07543b4ae8b41994804504eff3 |
| institution | Directory Open Access Journal |
| issn | 1008-9497 |
| language | zho |
| last_indexed | 2024-04-24T17:02:53Z |
| publishDate | 2005-11-01 |
| publisher | Zhejiang University Press |
| record_format | Article |
| series | Zhejiang Daxue xuebao. Lixue ban |
| spelling | doaj.art-8360ec07543b4ae8b41994804504eff32024-03-29T01:58:22ZzhoZhejiang University PressZhejiang Daxue xuebao. Lixue ban1008-94972005-11-01326635637zjup/1008-9497.2005.32.6.635-637Explicit solutions to an optimal portfolio problem with a stochastic cash flow(有随机现金流时投资优化问题的显式解)ZHANGXiao-qian(张小茜)0LISheng-hong(李胜宏)1 1.College of Economics, Zhejiang University, Hangzhou 310027, China( 1.浙江大学经济学院，浙江 杭州 310027) 2.Department of Mathematics, Zhejiang University, Hangzhou 310027, China( 2.浙江大学数学系，浙江 杭州 310027)利用随机动态规划方法，研究了有随机现金流Yt的最优投资问题.假设Yt满足dYt=α(Xt）dt+β(Xt)dW2，其中Xt为投资者的总财富.不同于经典Merton模型的是，在新的目标函数下，给出了最优投资策略的显式解.https://doi.org/zjup/1008-9497.2005.32.6.635-637随机现金流最优消费投资策略hjb方程 |
| spellingShingle | ZHANGXiao-qian(张小茜) LISheng-hong(李胜宏) Explicit solutions to an optimal portfolio problem with a stochastic cash flow(有随机现金流时投资优化问题的显式解) Zhejiang Daxue xuebao. Lixue ban 随机现金流 最优消费投资策略 hjb方程 |
| title | Explicit solutions to an optimal portfolio problem with a stochastic cash flow(有随机现金流时投资优化问题的显式解) |
| title_full | Explicit solutions to an optimal portfolio problem with a stochastic cash flow(有随机现金流时投资优化问题的显式解) |
| title_fullStr | Explicit solutions to an optimal portfolio problem with a stochastic cash flow(有随机现金流时投资优化问题的显式解) |
| title_full_unstemmed | Explicit solutions to an optimal portfolio problem with a stochastic cash flow(有随机现金流时投资优化问题的显式解) |
| title_short | Explicit solutions to an optimal portfolio problem with a stochastic cash flow(有随机现金流时投资优化问题的显式解) |
| title_sort | explicit solutions to an optimal portfolio problem with a stochastic cash flow 有随机现金流时投资优化问题的显式解 |
| topic | 随机现金流 最优消费投资策略 hjb方程 |
| url | https://doi.org/zjup/1008-9497.2005.32.6.635-637 |
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