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| 摘要: |
| 分别研究了在退休期限和借贷约束条退休的条件下提前退休的最优投资组合问题，其中考虑风险资产派发红利的情形；退休期限和借贷约束条件会使代理人相应地改变投资策略；运用了随机控制等方法，得到了代理人在约束条件下最优消防投资组合策略显示解。 |
| 关键词: 最优投资组合 退休期限 借贷约束 红利 随机控制 |
| DOI： |
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| Optimal Portfolio Model with Earlier Retirement and Dividend Payments under Constraint Conditions |
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CAO An-zhao,TIAN Li,ZHOU Ming-long,SU Kai,CHENG Jing-jing
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| Abstract: |
| This paper studies optional porfolio model for earlier retirement problem under retirement age and borrow/lend constraint conditions resprctively through considering the case of the dividend-payment of risk assets.Retirement age and borrow/lend constraint conditions will change the agent's corresponding investment strategy.In this article,we use the method such as stochastic control and so on and obtain the explicit solution to optimal consumption-investment portfolio of thr agent under constraint condition. |
| Key words: optimal investment porfolio retirement age borrow/lend constrain dividend stochastic control |
