英文标题：
《An Optimal Consumption-Investment Model with Constraint on Consumption》
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作者：
Zuo Quan Xu and Fahuai Yi
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最新提交年份：
2014
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英文摘要：
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion fluctuations. The consumption rate is subject to an upper bound constraint which linearly depends on the investor\'s wealth and bankruptcy is prohibited. The investor\'s objective is to maximize total expected discounted utility of consumption over an infinite trading horizon. It is shown that the value function is (second order) smooth everywhere but a unique possibility of (known) exception point and the optimal consumption-investment strategy is provided in a closed feedback form of wealth, which in contrast to the existing work does not involve the value function. According to this model, an investor should take the same optimal investment strategy as in Merton\'s model regardless his financial situation. By contrast, the optimal consumption strategy does depend on the investor\'s financial situation: he should use a similar consumption strategy as in Merton\'s model when he is in a bad situation, and consume as much as possible when he is in a good situation.
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中文摘要：
考虑了一个具有约束的连续时间消费投资模型，其决策是消费率和财富分配给一个无风险和具有对数布朗运动波动的风险资产。消费率受上限约束，上限约束与投资者的财富成线性关系，禁止破产。投资者的目标是在无限的交易周期内最大化消费的总预期贴现效用。结果表明，价值函数处处是（二阶）光滑的，但存在（已知）例外点的唯一可能性，最优消费投资策略是以财富的封闭反馈形式提供的，这与现有的工作不涉及价值函数相比。根据这个模型，投资者应该采取与默顿模型相同的最优投资策略，无论其财务状况如何。相比之下，最优的消费策略确实取决于投资者的财务状况：当投资者处于不利状况时，他应该使用与默顿模型中类似的消费策略，当投资者处于良好状况时，他应该尽可能多地消费。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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