Mean-variance portfolio model with consumption

被引：0

作者：

Wan, Shuping ^{[1
]}

机构：

[1] Jiangxi Univ Finance & Econ, Coll Informat Technol, Nanchang 330013, Peoples R China

来源：

2006 9TH INTERNATIONAL CONFERENCE ON CONTROL, AUTOMATION, ROBOTICS AND VISION, VOLS 1- 5 | 2006年

关键词：

optimal; portfolio; mean-variance; efficient frontier; stochastic linear square control;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Suppose that a market consists of a foreign exchange deposit and a risky stock, the optimal portfolio problem with consumption is formulated under the continuous-time mean-variance frame. By using the stochastic linear-square control theory, the explicit optimal trading strategies and the closed-form efficient frontier are derived. The numerical example shows that with the increase of the consumption rate, the amount invested in the risky stock, the mean terminal wealth, and the variance of the terminal wealth are all decreased.

引用

页码：22 / 26

页数：5

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