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随机波动率下最优投资问题的逼近解 被引量：1

Solution to Optimal Investment Problems with Stochastic Volatility
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摘要 该文讨论随机波动率下的最优投资问题,随机波动率为马尔科夫扩散过程函数.股票价格的波动不但受到其本身价格的影响,还受到各种市场因子的影响.通过Legendre变换以及逼近分析,求得了原问题的近似显式解,从而得到了投资问题的0级最优策略. This article discusses optimal investment problems with stochastic volatility that is a function of variable Yt, a simple mean-reverting Markov diffusion process. Stock price fluctuations are related to the stock itself and various market factors. An asymptotic solution to the primary optimal problem through Legendre transform and perturbation analysis is obtained. A zero-order strategy is then obtained.
作者 周学勤 秦成林
机构地区 上海大学理学院
出处 《上海大学学报（自然科学版）》 CAS CSCD 北大核心 2005年第4期431-435,共5页 Journal of Shanghai University:Natural Science Edition
基金 交通银行基金托管部资助项目(514522) 上海市教委重点学科建设资助项目
关键词 随机波动率 HAMILTON-JACOBI-BELLMAN方程 最优投资 LEGENDRE变换 摄动分析 stochastic volatility Hamihon-Jacobi- Bellman equation optimal investment Lgendre transform perturbation analysis
分类号 F224.11 [经济管理—国民经济]
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参考文献7

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同被引文献11

  • 1徐梅,张世英.基于小波变换的长记忆随机波动模型估计方法研究[J].中国管理科学,2006,14(1):7-14. 被引量：10
  • 2GIRAITIS LR, LEIPUS PM, SURGAILIS, et al. Leverage and long memory [ J ]. Journal of Financial Econometrics. 2004, 2 (2) : 177 - 210.
  • 3DEVANEY M. Time varying risk premia for real estate investment trusts: A GARCH-M model[J]. The Quarterly Review of Economics and Finance,2001,41 (3) : 335 - 346.
  • 4TAYLOR SJ. Modeling stochastic volatility: A review and comparative study[ J ]. Mathematical Finance, 1994,4 (2) : 183 - 204.
  • 5GHYSELS E. Structural change tests for simulated method of moments[J ], Journal of Econometrics, 2003,115 ( 1 ) : 91 - 123.
  • 6DUE D. Simulated moments estimation of markov models of asset prices [J]. Econometriea,2000,68(4) :929 - 952.
  • 7TSAI H S, CHAN K S. Quasi-Maxlmum likelihood estimation for a class of continuous-time long-memory processes[J]. Journal of Time Series Analysis, 2005,26 (5) : 691 - 713.
  • 8ZELLNER A. Bayesian and non-bayesian approaches to scientific modeling and inference in economies and econometries [ C]//The proceeding of the 7th Econometric Society World Congress. Seattle, 2000,1206 - 1239.
  • 9KIM S, SHEPHARD N. Stochastic volatility: likelihood inference and comparison with ARCH models[J]. Review of Economic Studies. 1998, 65(2): 361-393.
  • 10BROOKS S, ROBERTS G. On quantile estimation and markov chain monte carlo convergence[ J ]. Biometrika, 1999,86 (3) : 710 -717.

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上海大学学报（自然科学版）
2005年 第4期

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