A DIRECT METHOD IN OPTIMAL PORTFOLIO AND CONSUMPTION CHOICE

作     者：WU ZHEN AND XU WENSHENG (Department of Mathematics,Shandong University, Jinan 250100.)(Department of Applied Mathematics, Zhejiang University,Hangzhou 310027.) 

出 版 物：《Applied Mathematics(A Journal of Chinese Universities)》 (高校应用数学学报（英文版）（B辑）)

年 卷 期：1996年第11卷第3期

页      面：349-354页

核心收录：

学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主　　题：Optimal strategy portfolio consumption security market. 

摘      要：In this paper we use a direct method to solve the optimal portfolio andconsumption choice problem in the security market for a specific case,in which theutility function is of a given homogenous form, i.e. the so-called CRRA case. The ideacomes from the completion technique ever used in LQ optimal control.