STOCHASTIC PROGRAMMING METHOD FOR MULTIPERIOD CONSUMPTION AND INVESTMENT PROBLEMS WITH TRANSACTIONS COSTS

作     者：CHENZhiping XUChengxian K.C.Yuen CHEN Zhiping XU Chengxian(Department of Scientific Computing and Applied Softwares, Faculty of Science, Xi’an Jiaotong University, Xi’an 710049, China)K. C. Yuen(Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China)

作者机构：DepartmentofScientificComputingandAppliedSoftwaresFacultyofScienceXi'anJiaotongUniversityXi'an710049China DepartmentofStatisticsandActuarialScienceTheUniversityofHongKongPokfulamRoadHongKongChina DepartmentofScientificComputingandAppliedSoftwaresFacultyofScienceXi'anJiaotongUniversityXi'an710049China 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2004年第17卷第1期

页      面：39-53页

核心收录：

学科分类：12[管理学] 120204[管理学-技术经济及管理] 1202[管理学-工商管理] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070105[理学-运筹学与控制论] 0701[理学-数学] 

基　　金：This research is partially supported by the Natural Science Foundation of Shaanxi Province China(2001SL09) 

主　　题：consumption and investment problems the GARCH model stochastic programming decomposition 

摘      要：Using the GARCH model to describe the risky asset s return process so thatits time-varying moments and conditional heteroskedasticity can be properly reflected,general multiperiod optimal investment and consumption problems with both fixed andproportional transactions costs are investigated in this paper. We model this kind ofdifficult problems as a dynamic stochastic optimization problem, which can cope withdifferent utility functions and any number of time periods. The procedure to solve theresulting complex nonlinear stochastic optimization problem is discussed in detail and abranch-decomposition algorithm is devised.