会议专题

An Optimal Investment and Consumption Problem with the Special Coefficient Logarithm Utility

This paper concerns with portfolio problems where an investor can invest in a savings account, stocks and bonds and tries to maximize her utility from terminal wealth and her expected utility of intermediate consumption. We apply stochastic control method to solve the problem. By using logarithmic utility of special constant, we firstly set up the HJB-equation satisfied by the value function of the portfolio problem. Then we obtain its explicit solution. Furthermore, optimal investment and consumption policies are presented. Therefore, we solve this problem completely.

optimal portfolio utility function admissible controls

Limei Liu Chengxin Luo

School of Mathematics and System Science, Shenyang Normal University, Liaoning 110034

国际会议

2009年中国控制与决策会议(2009 Chinese Control and Decision Conference)

广西桂林

英文

40-42

2009-06-17(万方平台首次上网日期,不代表论文的发表时间)