摘要
在假设证券收益存在有界不确定干扰和考虑交易费用的情况下 ,基于微分对策理论 ,研究了最差情况下的最优消费和投资策略问题 .首先 ,建立了最优消费和投资决策的微分对策模型 ;其次 ,证明了该微分对策模型存在唯一的值函数 ,并根据微分对策理论推导出了值函数满足的 IB偏微分方程 ;再次 ,基于微分对策值函数 ,给出了最差情况下的最优消费和投资策略 ;最后 ,给出了 IB偏微分方程解析解的一种求解方法 。
Under the hypothesis that security returns have bounded uncertainty,considering transaction costs,based on the theory of differential game,a optimal consumption and investment decision problem in financial market is studied.First,the differential game model for optimal consumption and investment decision problem was established.Secondly,the differential game proved to have a unique value function,and a partial differential equation is obtained for the value function.Third,The worst case optimal consumption and investment strategies are given.Finally,the solution of IB partial differential equation in financial investment is made to explore the properties of the solution roughly.
出处
《管理科学学报》
CSSCI
2001年第6期48-54,共7页
Journal of Management Sciences in China
基金
国家杰出青年科学基金资助项目 (70 0 2 53 0 3 )
教育部跨世纪优秀人才培养计划基金资助项目
