| 带交易费及工资的终端资产和消费期望效用最优化 |
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| 引用本文： | 王丙参,魏艳华,宋立新. 带交易费及工资的终端资产和消费期望效用最优化[J]. 重庆理工大学学报(自然科学版), 2009, 23(7): 156-159 |
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| 作者姓名： | 王丙参 魏艳华 宋立新 |
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| 作者单位： | 天水师范学院数学与统计学院;吉林师范大学数学学院; |
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| 基金项目： | 国家自然科学基金资助项目(10571073);;吉林省教育厅科学技术研究十一五规划重点项目(吉教科合字[2007]第152号);;无水师范学院科研基金资助项目(TSB0814) |
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| 摘 要： | 讨论带有工资及一定比例交易费的终端财富和消费的期望效用最优化.首先建立了连续时间投资与消费模型,然后运用鞅分析和对偶理论得到了最优消费过程和终端财富.
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| 关 键 词： | 鞅 交易费 可容许策略 |
Optimization of Expected Utility from Terminal Wealth and Consumption with Transaction Costs and Wages |
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| WANG Bing-can,WEI Yan-hua,SONG Li-xin. Optimization of Expected Utility from Terminal Wealth and Consumption with Transaction Costs and Wages[J]. Journal of Chongqing University of Technology(Natural Science), 2009, 23(7): 156-159 |
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| Authors: | WANG Bing-can WEI Yan-hua SONG Li-xin |
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| Affiliation: | 1.School of Mathematics and Statistics;Tianshui Normal University;Tianshui 741001;China;2.School of Mathematics;Jilin Normal University;Siping 136000;China |
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| Abstract: | This paper solves the problem of an agent who begins with an initial endowment and can consume while also investing with transaction costs and wages.Firstly,it sets up the investment consumption model of continuous time,and then gets the optimal consumption process and terminal wealth by using the convex dual function(Legendre transform) of the utility function and the theory of Martingal. |
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| Keywords: | Martingal transaction costs admissible strategy |
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