2007•Journal of Xi'an University of Arts and ScienceRequires access

Optimal Control in Investment Portfolio and Consumption under Typical Utility Index

Ziting Wang

Abstract

The optimal investment portfolio and consumption policies of two stocks were studied.First of all,the stochastic model in the financial market was introduced.By using formula,the stochastic differential equation of wealth process concerning the decision of consumption and investment was given;the stochastic control model for consumption and investment was established.By using the dynamical programming method,the optimal investment portfolio and consumption policies for a particular kind of utility function were obtained under the condition of correlated random sources of disturbance.

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Key concepts: Stochastic control, Consumption (sociology), Portfolio, Investment (military), Economics, Stochastic differential equation, Index (typography), Optimal control