Optimal Portfolio and Consumption in Modified Black-Scholes Model

摘要：

The optimal stochastic control is a hot topic among recent problems in economics and finance. In fact, many economical and financial problems present the necessity of taking decisions based on the uncertainty of random nature. This paper modifies the classical Black-Scholes model by taking the consumption into consideration. By splitting the initial endowment into two parts, we respectively find the optimal consumption and optimal portfolio. We also analyze how to get the optimal solution of the combined portfolio and consumption problem in the model.

关键词： optimal portfolio consumption utility stochastic control

作者: Zhefei He

作者单位: Department of Applied Mathematics Changzhou University Changzhou, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 68-71

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）