摘要
假设风险资产(股票)服从CEV(Constant Elasticity of Variance)过程,在考虑交易成本的情况下,构建了同时存在无风险资产和风险资产时,投资者的最优投资策略。以期望效用最大化为目标,运用HJB构造微分方程,并以对数效用函数为例,求出最佳投资比例的解析解。最后,给出了考虑随机利率时的最优策略问题求解。
Assuming the price process of risky asset follows the constant elasticity of variance (CEV) process, we construct an optimal investment strategy for investors when there exist risk-free assets and risky assets. To maximize the expected utility, the Hamilton-Jacobi-Bellman (HJB) equation associated with the optimal investment strategies is established, and solutions are found for investors with CRRA utility. Optimal strategies for the problems with the stochastic interest rate are given.
出处
《系统管理学报》
CSSCI
2012年第3期428-431,共4页
Journal of Systems & Management
基金
国家自然科学基金资助项目(70773076)
上海交通大学文理交叉专项基金资助项目(10JCY11)
关键词
风险资产
CEV模型
交易费用
HJB方程
最优策略
随机利率
constant elasticity of variance(CEV) model
transaction costsi hamilton-jacobi-bellman(HJB)equation
optimal strategies
risk assets
stochastic interest