跳扩散下汇率变动的外商直接投资问题研究

Study of a foreign investor's investment with fluctuations of exchange rate under jump-diffusion

本文在跳扩散环境下研究了汇率变动对外商直接投资的影响.首先,通过Ito公式,推导得出跳扩散环境下以本币表示的风险资产价格动力学方程.然后在终端财富预期效用最大化标准下,利用HJB方程推导最优投资策略,得出最优动态资产配置策略的近似解.最后对结果进行数值分析,定量分析了跳和汇率变化对投资商最优资产配置策略的影响.

This paper studies a foreign investor＇s direct investment with fluctuations of exchange rate under jump-diffusion environment. First, we obtain the dynamics of asset price denoted by native currency by using Ito formula. Then, under maximizing the expected utility of the terminal wealth, through using HJB equation, we obtain the optimal allocation strategy, and derive an approximate solution of the optimal dynamic asset allocation. Finally, we analyze the impacts of the jump and the fluctuations of exchange rate on the optimal allocation strategy of an investor through a numerical simulation.