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讨论了一类国际证券投资组合及消费选择的最优控制问题 ,对“常规相对风险厌恶”(CRRA)情形的效用函数 ,给出了明确的最优证券组合的消费率 ,其思想来自线性二次指标最优控制 (LQ)问题的处理技术。
The optimal control of a portfolio of international securities and the choice of consumption is discussed. The utility function of the CRRA case is given and the consumption rate of the optimal portfolio is given. The idea is linear two Subal Index Optimal Control (LQ) Problem Processing Technology.