| 双曲型绝对风险厌恶函数的最优消费与投资组合的显示解 |
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| 引用本文： | 胡华,胡若.双曲型绝对风险厌恶函数的最优消费与投资组合的显示解[J].上海理工大学学报(社会科学版),2007,29(1):42-44,78. |
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| 作者姓名： | 胡华 胡若 |
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| 作者单位： | 宁夏大学数学计算机学院 银川750021(胡华)，上海理工大学管理学院 上海200093(胡若) |
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| 基金项目： | 上海市重点学科建设项目 |
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| 摘 要： | 对于资产价格服从几何Brown运动的连续时间消费投资组合问题,在假设个人的效用函数属于双曲型绝对风险厌恶函数族的条件下,简化了模型,得到了最优消费投资组合策略的显示解.并证明了几个关于最优解的重要定理.
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| 关 键 词： | 最优消费与投资组合 双曲型绝对风险厌恶 效用函数 对数正态分布 |
Explicit solutions for the optimal consumption and portfolio of the hyperbolic absolute risk aversion function family |
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| HU Hu,HU Ruo.Explicit solutions for the optimal consumption and portfolio of the hyperbolic absolute risk aversion function family[J].Journal of University of Shanghai For Science and Technilogy(Social Science),2007,29(1):42-44,78. |
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| Authors: | HU Hu HU Ruo |
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| Institution: | 1. College of Mathernatics and Computer Science, Ningxia University, Yinchuan 750021 , China ; 2. Business School, University of Shanghai for Science and Technology, Shanghai 200093, China |
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| Abstract: | For the case when asset prices satisfy the geometric Brownian motion's continuous-time consumption-portfolio problem,the model is simplified and explicit solutions for the optimal consumption and portfolio rules are derived.A few theorems about the optimal solutions are proved under the assumption that the utility function of the individual is a member of the hyperbolic absolute risk aversion(HARA) family. |
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| Keywords: | optimal consumption and portfolio hyperbolic absolute risk aversion utility function log-moral distribution |
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