2009•Journal of Xi'an University of Arts and ScienceRequires access

A Study on Decision for Optimal Investment and Consumption with Two Consumption Goods

Ziting Wang

Abstract

The paper studies the optimal investment and consumption problems with abnormal fluctuations in the financial market and two consumption goods,namely perishable goods and durable goods.First of all,the stochastic optimal control model of the optimal investment and consumption problem is established,and then by using dynamic programming principle,the optimal investment and consumption strategies are obtained explicitly for the power utility function case.Finally,the optimal strategies are analyzed.

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Key concepts: Consumption (sociology), Investment (military), Economics, Dynamic programming, Microeconomics, Power consumption, Optimal control, Consumption function