随机参数和随机资金流环境下基于二次效用函数的投资组合优化

Portfolio Optimization with Random Parameters and Stochastic Cash Flow for Quadratic Utility Maximization

研究完全市场下基于二次效用最大化的带有随机资金流的动态投资组合选择问题,其中假设无风险利率、股票收益率和波动率矩阵都是一致有界随机过程.通过应用线性二次控制方法和向后随机微分方程理论得到了最优投资组合的解析表达式.

This paper is concerned with a dynamic portfolio selection problem with stochastic cash flow in a complete financial market for quadratic utility maximization,in which interest rate,appreciation rates and volatility coefficients are allowed to be uniformly bounded stochastic processes.The optimal portfolio in the explicit forms is constructed via linear quadratic control technique and results from backward stochastic differential equations（BSDEs） theory.