%0 Journal Article
%T Optimal investment and consumption decisions with perishable and durable products as consumption objects<br>以可存品与非可存品为消费对象的最优投资消费决策
%A MING Zhong-feng
%A GUO Wen-jing
%A HU Qi-ying
%A <br>明宗峰
%A 郭文旌
%A 胡奇英
%J 控制理论与应用
%D 2004
%I 
%X The consumption object considered in the traditional investment consumption decision problem is either a single perishable product or a single durable product and the borrowing rate of the bank is assumed to be equal to the deposit rate.In this paper the borrowing rate of the bank is assumed to be higher than its deposit rate,and the consumption objects of the investor are supposed to be a mixture of perishable and durable products.The unit price of the durable product is assumed to follow a geometric Brownian motion and the physical depreciation rate of the durable goods is supposed to be a constant.By using stochastic control methods,optimal investment-consumption strategies are derived explicitly for the isoelastic utility function case.
%K optimal investment-consumption
%K durable good
%K stochastic control
%K HJB(Hamilton Jacobi Bellman) equation<br>最优投资消费
%K 可存品
%K 随机控制
%K HJB(HamiltonJacobiBellman)方程
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=5B3AB970F71A803DEACDC0559115BFCF0A068CD97DD29835&cid=8240383F08CE46C8B05036380D75B607&jid=970898A57DFC021F93AB51667BAED7F7&aid=09C570C8CD1845C9&yid=D0E58B75BFD8E51C&vid=659D3B06EBF534A7&iid=B31275AF3241DB2D&sid=58AAF01A97187A3A&eid=DE4E739E935BD9A7&journal_id=1000-8152&journal_name=控制理论与应用&referenced_num=0&reference_num=8