OPTIMAL INVESTMENT CONSUMPTION MODEL WITH A HIGHER INTEREST RATE FOR BORROWING

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摘要 Thispaperconsidersaconsumptionandinvestmentdecisionproblemwithahigherinterestrateforborrowingaswellasthedividendrate.WealthisdividedintoarisklessassetandriskyassetwithlogrithmicErownianmotionpricefluctuations.Thestochasticcontrolproblemofmaximizatingexpectedutilityfromterminalwealthandconsumptionisstudied.Equivalentconditionsforoptimalityareobtained.Byusingdualitymethods,theexistenceofoptimalportfolioconsumptionisproved,andtheexplicitsolutionsleadingtofeedbackformulaearederivedfordeteministiccoefficients.
机构地区 不详
出版日期 2000年03月13日(中国期刊网平台首次上网日期,不代表论文的发表时间)
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