| 投资消费模型中价值函数的基本性质 |
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| 引用本文： | 许世蒙,刘俊红,谢古今. 投资消费模型中价值函数的基本性质[J]. 装甲兵工程学院学报, 2001, 15(2): 7-10 |
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| 作者姓名： | 许世蒙 刘俊红 谢古今 |
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| 作者单位： | 装甲兵工程学院基础部,北京,100072 |
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| 摘 要： | 在有交易费的投资消费模型下,讨论了价值函数的一些基本性质,即给出了价值函数是有限连续和非减凹函数.
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| 关 键 词： | 交易费 投资消费 价值函数 鞅方法 |
| 修稿时间： | 2000-08-30 |
Basic Properties of Value Function in A Investment-Consumption Model |
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| XU Shi-meng,LIU Jun-hong,XIE Gu-jin. Basic Properties of Value Function in A Investment-Consumption Model[J]. Journal of Armored Force Engineering Institute, 2001, 15(2): 7-10 |
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| Authors: | XU Shi-meng LIU Jun-hong XIE Gu-jin |
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| Affiliation: | XU Shi-meng;LIU Jun-hong;XIE Gu-jin |
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| Abstract: | In the paper, under a investment-consumption model with transaction costs, some basic properties of value function are discussed. It is shown that the value function is a finite continuous and concave non-decreasing one. |
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| Keywords: | transaction costs investment-consumption value function matingale method |
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