安徽工程大学学报Issue(1)：65-70,94,7.
基于通胀和劳动收入的最优消费投资问题研究
Study on optimal consumption-portfolio problem based on labor income and inflation
摘要
Abstract
This paper considers the impact of inflation and labor income on optimal consumption and port‐folio of an investor in the case of fully observed consumption basket price .Firstly ,the life cycle of the in‐vestor is divided into two phases of retirement and employment ,and then the corresponding stochastic control mathematical models are set up S.econdly ,by using the method of stochastic control ,the HJB e‐quation is derived ,an explicit expression of the valued function of the optimization problem is obtained in the case of constant relative risk aversion (CRRA) utility .Finally ,the effect of inflation on an investor's optimal consumption and portfolio strategy is analyzed by numerical simulation with given parameters .关键词
通胀/劳动收入/最优消费投资/CRRA效用/HJB方程Key words
inflation/labor income/optimal consumption-portfolio/CRRA utility/HJB equation分类
数理科学引用本文复制引用
姜奎,费为银,杜宏俊..基于通胀和劳动收入的最优消费投资问题研究[J].安徽工程大学学报,2016,(1):65-70,94,7.基金项目
国家自然科学基金资助项目 （）
