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| 摘要: |
| 本文研究了CIR 利率模型中基于对数效用的最优长期投资问题和无限时间域上的最优折算消费问题. 通过求解相关的动态规划方程, 获得了这两个最优化问题的最优策略及值函数的明确表现形式. |
| 关键词: Cox-Ingersoll-Ross利率 对数效用 最优投资 最优折算消费 动态规划方程 |
| DOI： |
| 分类号:O211.63;O211.9 |
| 基金项目:Supported by the Natural Foundation of Hebei Province(A2012203047) and Natural Science foundation of Tangshan Normal University(2014D09). |
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| PORTFOLIO OPTIMIZATION PROBLEMS WITH LOGARITHMIC UTILITY IN CIR INTEREST RATE MODEL |
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LI Chun-li,CAI Yu-jie
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| Abstract: |
| In this paper, we study the optimal long term investment problem and optimal discounted consumption problem on infinite time horizon with logarithmic utility in CIR interest rate model. By solving the corresponding dynamic programming equations, we obtain the optimal strategies and value functions for the two optimization problems in explicit form. |
| Key words: Cox-Ingersoll-Ross interest rate logarithmic utility optimal investment opti-mal discounted consumption dynamic programming equation |
