英文标题：
《Portfolio Selection with Mandatory Bequest》
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作者：
Jiacheng Feng
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最新提交年份：
2014
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英文摘要：
In this paper, optimal consumption and investment decisions are studied for an investor who can invest in a fixed interest rate bank account and a stock whose price is a log normal diffusion. We present the method of the HJB equation in order to explicitly solve problems of this type with modifications such as a fixed percentage transaction cost and a mandatory bequest function. It is shown that the investor treats the mandatory bequest as an expense that she factors into her personal wealth when making consumption and transaction decisions. Furthermore, the investor keeps her portfolio proportions inside a fixed boundary relating to Merton\'s optimal proportion and the transaction costs.
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中文摘要：
本文研究了一个可以投资于固定利率银行账户的投资者和一个价格为对数正态扩散的股票的最优消费和投资决策。我们提出了HJB方程的方法，以明确地解决此类问题，并进行了修改，例如固定百分比的交易成本和强制遗赠函数。研究表明，投资者在做出消费和交易决策时，将强制性遗产视为一种费用，并将其计入个人财富。此外，投资者将其投资组合比例保持在与默顿最优比例和交易成本相关的固定边界内。
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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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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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