【摘要】 利用HJB方程粘性解理论,考虑带有红利收益和交易成本后,对现有最优消费投资模型作了推广,研究了值函数的凸性,连续性和齐次等性质,并给出了值函数的上界,这些性质有助于进一步研究投资者在带有红利和交易成本情形下的最优消费投资策略.更多还原

【Abstract】 In light of the theory of viscosity solutions to Hamilton-Jacobi-Bellman equations,the model of optimal investment and consumption with transaction costs and dividend is discussed.The concavity,continuity and homotheticity of the value function are studied.The upper bounds of value function for our model is characterized.The obtained properties will be helpful for establishing a strategy of optimal investment and consumption with transaction costs and dividend.更多还原