An Application of Dynamic Programming Principle in Corporate International Optimal Investment and Consumption Choice Problem

被引:2
作者
Huang, Zongyuan [1 ]
Wu, Zhen [1 ]
机构
[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China
关键词
MANAGEMENT; MODELS;
D O I
10.1155/2010/472867
中图分类号
T [工业技术];
学科分类号
08 ;
摘要
This paper is concerned with a kind of corporate international optimal portfolio and consumption choice problems, in which the investor can invest her or his wealth either in a domestic bond (bank account) or in an oversea real project with production. The bank pays a lower interest rate for deposit and takes a higher rate for any loan. First, we show that Bellman's dynamic programming principle still holds in our setting; second, in terms of the foregoing principle, we obtain the investor's optimal portfolio proportion for a general maximizing expected utility problem and give the corresponding economic analysis; third, for the special but nontrivial Constant Relative Risk Aversion (CRRA) case, we get the investors optimal investment and consumption solution; last but not least, we give some numerical simulation results to illustrate the influence of volatility parameters on the optimal investment strategy.
引用
收藏
页数:16
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