应用数学2003，Vol.16Issue(2)：118-123,6.
一类组合受约束的最优化问题及其最优解
A Class of Optimization Problems with Portfolio Constraints and the Corresponding Optimal Solution
摘要
Abstract
In the paper, we attempt to illustrate a continuous-time constrained portfolio and consumption optimization problem within a specific power utility function. We find that the final decision is obviously not dependent on the discount functions, which makes us more surprised. Meanwhile,we also discuss a few common constrains imposed upon portfolio choices and write out the corresponding optimal strategies.关键词
随机动态规划/对偶问题/辅助市场/可容许策略Key words
Stochastic dynamic programming/Dual problem/Auxiliary market/Admissible strategy分类
管理科学引用本文复制引用
廖长高,李贤平,徐萍..一类组合受约束的最优化问题及其最优解[J].应用数学,2003,16(2):118-123,6.
