摘要
就考虑贴现效用偏好的情况下如何实现一段投资计划期期末最大贴现消费效用，提供了一种证券投资分配策略模型·运用此模型，针对相应的证券投资最优控制问题进行了分析，利用极大值原理结合实际经济过程导出了上述问题的最优控制形式，可以对投资资金或证券余额进行最优控制决策。
In order to realize a maximal discounted consumption utility at the terminal time of the planning, a model was developed to determine the optimal investment allocation policy among securities. In accordance with relevant optimal securities investment behavior, some problems were analyzed using the model. Based on the maximum principle, an optimal control form was proposed according to the practical behavior process. The model predicts that investors could control their fund or securities to realize their expected discounted utilization through the optimal control policy.
出处
《东北大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
1999年第5期548-551,共4页
Journal of Northeastern University(Natural Science)
基金
辽宁省自然科学基金
关键词
证券投资
贴现
投资分配
最优控制
securities investment, discounted, investment allocation, optimal control.
