| 消费篮子价格部分可观察下带通胀与红利支付的最优消费投资问题研究 |
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| 引用本文： | 李淑娟,费为银,牛艳,陈超. 消费篮子价格部分可观察下带通胀与红利支付的最优消费投资问题研究[J]. 安徽机电学院学报, 2011, 0(2): 74-79 |
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| 作者姓名： | 李淑娟 费为银 牛艳 陈超 |
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| 作者单位： | 安徽工程大学数理学院,安徽芜湖241000 |
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| 摘 要： | 考虑淌费篮子价格部分可观察下通胀与红利支付对投资者最优消费投资的影响,利用HJB方程推导最优淌费投资策略,给出由三基金组成的修正的互助基金定理.在不变相对风险厌恶（CRRA）效用的特殊情形下,得到最优消费投资策略的显式解.
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| 关 键 词： | 通胀 最优消费投资 HJB方程 CRRA效用 红利 |
Study of optimal consumption and portfolio with inflation and dividend under partially observed consumption basket prices |
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| LI Shu-juan,FEI Wei-yin,NIU Yan,CHEN Chao. Study of optimal consumption and portfolio with inflation and dividend under partially observed consumption basket prices[J]. Journal of Anhui Institute of Mechanical and Electrical Engineering, 2011, 0(2): 74-79 |
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| Authors: | LI Shu-juan FEI Wei-yin NIU Yan CHEN Chao |
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| Affiliation: | (Coll. of Math. and Phy. ,Anhui Polytechnic University,Wuhu 241000,China) |
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| Abstract: | This paper considers optimal consumption and portfolio investment problems of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to inflation and dividend in the case of partially observed consumption basket prices. By using HJB equation, the optimal policy is derived, and the modified Mutual Fund Theorem consisting of three funds is obtained. In the particular case of relative risk-aversion （CRRA） utility, an explicit solution of the optimal consumption and portfolio policy is provided. |
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| Keywords: | inflation optimal consumption and portfolio HJB equation CRRA utility dividend |
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