| This paper discusses the investment optimization problem under periodic trading system in incomplete markets, where the investors take companies as investments. Because of the restrictions of working hours, trading system and other factors, the investor can not change his portfolio strategy continuous in this kind of investment activities. There are three market activities of his choice for investors in this paper:investing in company A, investing in com-pany B and consuming. The allocation of funds between A and B is called portfolio strategy and we put portfolio strategy and consumption rates to-gether to constitute the portfolio.We first introduce the background and theoretical basis for this question, then make a brief description of the impact of incomplete market and the periodic trading system for this model; after this, we give the optimization model under incomplete markets with periodic trading system, and analyze the optimal portfolio to explain the economic significance formally; in the third section, we use CRRA model as example to obtain the exact solutions for the optimization problem in a simple and direct way; finally, we assign for the optimal portfolio achieved in the third section, analysis the model re-sults to show the impressment of the information cost in the portfolio strategy. |
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