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Stein-Stein模型的最优投资组合 被引量：2

The optimal portfolio for the Stein-Stein model
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摘要 在风险资产服从S te in-S te in模型的假设下,研究了幂效用函数的最优投资组合问题.利用动态规划方法通过H JB方程得到最优投资组合价值函数的显式解,并给出最优投资策略. Under the assumption that the traded asset follows the Stein-Stein model, this paper studies the optimal portfolio problem with a power utility function. Using the dynamic programming approach, an explicit solution to the value function of the optimal portfolio problem is obtained by the HJB equation, and the optimal investment strategy is given.
作者 杨继德 刘利敏 沈艳琳
机构地区 河南师范大学数学与信息科学学院 许昌职业技术学院信息系
出处 《扬州大学学报（自然科学版）》 CAS CSCD 2006年第1期22-24,共3页 Journal of Yangzhou University：Natural Science Edition
基金 河南省科协软科学研究基金资助项目(0313062400)
关键词 最优投资问题 HJB方程 最优投资策略 optimal investment problem HJB equation optimal strategy
分类号 O211.6 [理学—概率论与数理统计] F830.9 [经济管理—金融学]
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参考文献7

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  • 4GUO Weng,XU Cheng-ming.Optimal portfolio selection when stock price follow an jump-diffusion process[J].Math Meth Oper Res,2004,60(3):485-496.
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同被引文献18

  • 1PHAM H. Smooth solution to optimal investment models with stochastic volatilities and portfolio constraints [J]. Appl Math Optim, 2002, 46(1): 55-78.
  • 2GUO Weng, XU Cheng-ming. Optimal portfolio selection when stock price follow an jump-diffusion process [J]. Math Meth Oper Res, 2004, 60(3): 485-496.
  • 3ZARIPHOPULOU T. A solution approach to valuation with unhedgable risks [J]. Finance Stochast, 2001, 5(1) : 61-82.
  • 4KARATZAS I, LEHOCZKY J P, SHREVE S, et al. Martingale and duality methods for utility maximization in an in complete market [J]. SIAM J Control Optim, 1991, 29(3): 702-730.
  • 5BOUCHARD B, PHAM H. Wealth-path dependent utility maximization in incomplete markets [J]. Finance Stochast, 2004, 8(4): 579-603.
  • 6SCHACHERMAYER W. Optimal investment in incomplete markets with wealth may become negative [J]. Ann Appl Prob, 2001, 11(3): 694-734.
  • 7BROWNE S. Optimal investment policies for a firm with a random risk process: exponential utility and minimi zing the probability of ruin [J]. Math Oper Res, 1995, 20(4): 937 -958.
  • 8HIPP C, PLUM M. Optimal investment for insurers [J]. Math Econ, 2000, 27(2) : 215-228.
  • 9BELI.MAN R E. Dynamic programming [M] New Jersey: Princeton University Press, 1957:469 -503.
  • 10YANG Hailiang, ZHANG Lihong. Optimal investment for insurer with jump diffusion risk process [J]. Insur Math ~ Econ, 2005, 37(3): 615-634.

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扬州大学学报（自然科学版）
2006年 第1期

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