张鸿雁, 李滚. 最优投资消费问题的对偶解法[J]. 云南大学学报(自然科学版), 2006, 28(6): 461-466.
引用本文: 张鸿雁, 李滚. 最优投资消费问题的对偶解法[J]. 云南大学学报(自然科学版), 2006, 28(6): 461-466.
ZHANG Hong-yan, LI Gun. Duality method of optimal investment policies with consumption[J]. Journal of Yunnan University: Natural Sciences Edition, 2006, 28(6): 461-466.
Citation: ZHANG Hong-yan, LI Gun. Duality method of optimal investment policies with consumption[J]. Journal of Yunnan University: Natural Sciences Edition, 2006, 28(6): 461-466.

最优投资消费问题的对偶解法

Duality method of optimal investment policies with consumption

  • 摘要: 考虑了市场中投资者信息的不对称性,用Lagrange乘数法给出了一类最优投资消费问题的对偶问题,并给出了该问题在完备市场下的最优解.对于不完备市场,讨论了最优解的存在性和唯一性.

     

    Abstract: Considering the asymmetry of information,it is given the duality problem of a kind of optimal investment policies with consumption problem by introducing Lagrange multiplier,and solved this problem in complete market.In addition,it is also discussed that the existence of optimal solution in incomplete market.

     

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