CIR利率模型中基于对数效用的投资组合最优化问题
PORTFOLIO OPTIMIZATION PROBLEMS WITH LOGARITHMIC UTILITY IN CIR INTEREST RATE MODEL

本文研究了CIR 利率模型中基于对数效用的最优长期投资问题和无限时间域上的最优折算消费问题. 通过求解相关的动态规划方程, 获得了这两个最优化问题的最优策略及值函数的明确表现形式.
In this paper, we study the optimal long term investment problem and optimal discounted consumption problem on infinite time horizon with logarithmic utility in CIR interest rate model. By solving the corresponding dynamic programming equations, we obtain the optimal strategies and value functions for the two optimization problems in explicit form