【摘要】 考虑一类投资消费模型 .投资者可连续投资于无风险债券和风险股票 .假定存贷利率不同 ,并且可允许卖空股票 .投资者的目的是使来自消费的贴现效用的期望值最大 .利用最优控制的方法 ,得到投资者的最优投资策略更多还原

【Abstract】 This paper considers an investment and consumption model for an investor.The investor trades his wealth continuously between a riskless bond and a risk stock.Short selling and borrowing at rate exceeding the risk-free rate on the bond are allowed.The investor’s objective is to maximize the total expected discounted utility of consumption over an infinite time interval.We obtain the optimal trading policy in terms of the optimal control approach.更多还原