2004•Journal of Central South University of Technology(Natural Science)Requires access
Optimal consumption and investment model considering effect of currency inflation
Jiezhong Zou
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Abstract
Optimal consumption and investment is a fundamental problem. Investors may choose freely his consumption and investment to expect to maximum the consumption and final wealth utility in or of the optimal consumption and investment when there is a currency inflation or deflation in financial market and consumer goods market. The stochastic model of deflator and optimal consumption and investment model is built. The value function of the optimum control question, optimal consumption and investment formulas in feedback form are obtained by means of martingale and stochastic analysis theory.