One Kind of Optimal International Security Investment Portfolio and Consumption Choice Problem

摘要

One kind of optimal security investment portfolio and consumption choice problem in international securities markets when the securities pay dividends is studied by using classical dynamic programming method. The economical analysis to the optimal choice of the investor is given through the investment theory when the investor invests two kinds of securities in different countries. The explicit optimal solution is presented using very simple and direct method for two kinds of typical utility cases, the idea comes from the technique which is used for solving the celebrated LQ problem in optimal control theory. At last, some simulation results are given to illustrate the influence of the parameters on optimal choice.