南京信息工程大学学报Issue(2)：188-192,5.
在红利支付情形下考虑负效用的消费投资问题
Optimal consumption portfolio and retirement problem with dividend-payment and disutility
摘要
Abstract
This paper studies an agent�s consumption/portfolio and retirement problem,in which the dividend-pay-ment of risk assets as well as the utility loss from labor are considered. The agent has an option to retire from his work.Before retirement the agent receives labor income but suffers a utility loss due to work,however,by deciding to retire from work,he saves the utility loss but gives up labor income.The agent utility comes from consumption,which is directly influenced by utility loss due to labor. We obtain an explicit solution for the agent�s critical wealth level and optimal consumption/portfolio strategy by using dynamic programming methods to solve a free boundary value problem.关键词
消费和投资组合选择/退休/负效用/红利/动态规划Key words
consumption and portfolio selection/retirement/disutility/dividend/dynamical programming分类
数理科学引用本文复制引用
梁勇,费为银,陈超..在红利支付情形下考虑负效用的消费投资问题[J].南京信息工程大学学报,2014,(2):188-192,5.基金项目
国家自然科学基金（71171003）；安徽省高校自然科学基金（（ KJ2012B019， KJ2013B023）；安徽省高校省级人文社会科学基金 （）
