Consumption-investment models with constraints
Consumption-investment models with constraints
复制标题
DOI：
10.1109/cdc.1991.261600
复制
发表时间：
1991-12
期刊：
影响因子：
--
通讯作者：
T. Zariphopoulou
中科院分区：
文献类型：
--
作者：
T. Zariphopoulou
作者处理了一个单一代理人的一般消费和投资问题，他动态地在债券和股票之间消费和分配他的财富。代理人面临交易约束：永远不会发生破产，投资于股票的金额不得超过当前财富的外生函数。目标是使消费的预期效用最大化。结果表明，该值函数是相关Bellman方程的光滑解，并确定了最优策略
The author treats a general consumption and investment problem for a single agent who consumes and distributes his wealth, dynamically, between a bond and a stock. The agent faces trading constraints: bankruptcy never occurs and the amount invested in stock must not exceed an exogeneous function of the current wealth. The objective is to maximize the expected utility of consumption. The value function is shown to be a smooth solution of the associated Bellman equation and the optimal policies are determined.>