| Optimal Investment Strategy in Safe-region on Consumption and Portfolio Problem |
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| 引用本文： | Ruicheng Yang Ailing Zuo. Optimal Investment Strategy in Safe-region on Consumption and Portfolio Problem[J]. 中国经济评论(英文版), 2004, 3(8): 45-49 |
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| 作者姓名： | Ruicheng Yang Ailing Zuo |
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| 作者单位： | [1]candidate of School of Science of Beijing Jiaotong University. His research fields are mathematical finance and stochastic control; Address： Department of Mathematics of Weifang University, Weifang, Shandong Province, P. R. China, Posteode： 261043 [2]Department of Technical Circulation of Weifang University, Weifang, Shandong, China. Postcode： 261043 |
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| 摘 要： |
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| 关 键 词： | 动力学 城市设计 资产重组 原理 |
Optimal Investment Strategy in Safe-region on Consumption and Portfolio Problem |
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| Abstract: | This paper investigates an optimal investment strategy on consumption and portfolio problem, in which the investor must withdraw funds continuously at a given rate. By analyzing the evolving process of wealth, we give the definition of safe-region for investment. Moreover, in order to obtain the target wealth as quickly as possible, using Bellman dynamic programming principle, we get the optimal investment strategy and corresponding necessary expected time. At last we give some numerical computations for a set of different parameters. |
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| Keywords: | portfolio optimal strategy geometric Brownian MotionBellman dynamic programming principle |
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