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1 He,Hua,and N.D.pearson,1991,Consumption and portfolio with incomplete markets and shortsale constraints:the finite-dimension case,Journal of economic theory 54,259-304. 2 Duffie,Darrell,and T.Zariphopoulou,1993,Optimal investments with undiverifiable income risk,Mathematical finance3,135-148. 3 Grossman,S.,and G.Laroque,1990,Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods,Econimetrica 58,25-51. 4 Zariphopoulou,T.,1994,Consumption investment models with constraints,SIAM journal of control and optimization 32,59-85.

5 Duffie,Darrell,and Tongsheng Sun,1990,Transaction costs and portfolio choice in a discerete-continuous time setting ,journal of economic dynamics and control 21,753-782

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关键词：Mathematical Optimization consumption Constraints investments 论文