摘要
Thispaperconsidersaconsumptionandinvestmentdecisionproblemwithahigherinterestrateforborrowingaswellasthedividendrate.WealthisdividedintoarisklessassetandriskyassetwithlogrithmicErownianmotionpricefluctuations.Thestochasticcontrolproblemofmaximizatingexpectedutilityfromterminalwealthandconsumptionisstudied.Equivalentconditionsforoptimalityareobtained.Byusingdualitymethods,theexistenceofoptimalportfolioconsumptionisproved,andtheexplicitsolutionsleadingtofeedbackformulaearederivedfordeteministiccoefficients.
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)