CAJ | 학술논문

利用贝尔曼动态规划原理和非线性规划原理,研究了在具有存贷利差的条件下,投资者整个生命周期内的消费效用最大化问题.给出了不同条件下最优消费与投资组合的计算公式及相应最大消费效用期望值,同时解释其经济意义;讨论了不同情形下存贷利差对最优消费的影响,求出了投资者在某一时刻财富与消费的关系,并给出直观图例.
이용패이만동태규화원리화비선성규화원리,연구료재구유존대리차적조건하,투자자정개생명주기내적소비효용최대화문제.급출료불동조건하최우소비여투자조합적계산공식급상응최대소비효용기망치,동시해석기경제의의;토론료불동정형하존대리차대최우소비적영향,구출료투자자재모일시각재부여소비적관계,병급출직관도례.
Under the assumption that there exists interest spreads between deposit and loan in financial market, this paper considers the maximization problem of consumption utility of a investor in his expected lifetime. Using Bellman dynamic programming principle and nonlinear programming principle, the paper derives the computation formula of optimal consumption and portfolio under different conditions and corresponding value of the expected maximum consumption utility, and explains its economic meaning. Furthermore, it discusses the influence of interest spreads of deposit and loan on the optimal consumption under different cases, gives the relationship between wealth and consumption at a certain time and its intuitive graphs.