THE CONSUMPTION AND INVESTMENT PORTFOLIO SELECTION IN CONTINUOUS-TIME MODEL
On the setting of the continuous time (d+1) assets market model in which interest rate is stochastic process, with finite time horizon T, the consumption and theportfolio selection problem had been studied. By using K-It(o) formula and backward stochastic differential equations theory, on the relation of consumption, investment portfolio and fortune, the backward stochastic differential equation model for stochastic optimal control problem had been established. Under the condition of given consumption process, the relation between the prime fortune process and the end-all fortune process had been proposed, the existence and uniqueness of investment portfolio had been proved, and the formula for investment portfolio had been arrived, we obtained the formula of the efficient investment portfolio. Furthermore, the efficient frontier of mean-variance portfolio selection was also obtained explicitly in a closed form.
Consumption process Investment portfolio process K-It(o) formula Backward stochastic differential equations Mean-Variance portfolio selection Efficient frontier
ZIJUN GUO
Science School, South China Agriculity university, Guangzhou, P.R.China
国际会议
The Second International Conference on Information & Systems Sciences(ICISS2008)(第二届信息与系统科学国际会议)
大连
英文
538-547
2008-12-18（万方平台首次上网日期，不代表论文的发表时间）