Journal of South China University of Technology (Natural Science Edition) ›› 2005, Vol. 33 ›› Issue (2): 94-98.

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Optimal Investment Decision in the Fixed Consumption Style

Ming Zong-feng1  Guo Wen-jing2   

  1. 1.College of Mathematical Sciences,South China Univ.of Tech.,Guangzhou 510640,Guangdong,China;2.School of Finance&Banking,Nanjing University of Finance&Economics,Nanjing 210003,Jiangsu,China
  • Received:2004-07-08 Online:2005-02-25 Published:2005-02-25
  • Contact: 明宗峰(1969-)，男，讲师，主要从事动态系统与计算机仿真方面的研究 E-mail:ming_zf@163.com
  • About author:明宗峰(1969-)，男，讲师，主要从事动态系统与计算机仿真方面的研究
  • Supported by:

    国家自然科学基金资助项目(70271021)

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Abstract:

An optimal portfolio selection problem in the fixed consumption style is investigated under the mean-vari-ance framework.In this investigation,the cash flow is divided into two parts:one is used to keep the fixed con-sumption,the other is used to the investment.Then,with the assumption that the consumption of an investor is the continuous or piecewise continuous function of time,the corresponding optimal investment decision and the efective
frontier are derived by using the stochastic linear-quadratic control.Finally,the influence of consumption on the in-vestment decision and the efficient frontier are analyzed.

Key words: fixed consumption style, portfolio selection, M-V model, stochastic linear-quadratic control