经济数学Issue(2)：1-8,8.
Vasicek利率模型下带有零息票债券的投资消费模型
Investment and Consumption Model with the Zero-Coupon Bond under the Vasicek Model
摘要
Abstract
This paper applied stochastic optimal control theory to investigate an investment and consumption problem with Vasicek interest rate model,in which interest rate was supposed to follow the Vasicek model and was generally correlated with stock price dynamics.Assuming that the financial market is composed of one risk-free asset and one risky asset and one ze-ro-coupon bond,the obj ective of the investor is to maximize the expected discount utility of intermediate consumption and ter-minal wealth.By applying variable change approach,we obtained the closed-form solution of the optimal investment and con-sumption strategy in the power utility case.Finally,we provided a numerical example to illustrate the sensitivity of the optimal investment and consumption strategy on market parameters.关键词
Vasicek利率模型/零息票债券/投资/消费模型/随机最优控制/幂效用Key words
Vasicek interest rate model/zero-coupon bond/investment and consumption model/stochastic optimal control/power utility分类
数理科学引用本文复制引用
常浩..Vasicek利率模型下带有零息票债券的投资消费模型[J].经济数学,2014,(2):1-8,8.基金项目
教育部人文社会科学研究青年基金(11YJC790006),天津市高等学校科技发展基金(20100821) （11YJC790006）
