Heston模型下最优投资-消费策略选择

Optimal Investment-consumption Policies Selection for Heston Model

在随机金融市场模型中,研究了最优投资-消费策略选择问题.随机金融市场由无风险资产和风险资产构成,在风险资产的方差满足Heston模型下,求得最优投资-消费策略最大化终端财富和累积消费的期望折现效用.在幂效用函数情形下,通过求解值函数满足的Hamilton-Jacobi-Bellman(HJB)方程,得到了最优投资-消费策略以及值函数的显式解.

The optimal investment-consumption policies selection problems were studied with stochastic financial market. In stochastic financial market,assets are composed of risk-free and risky asset,and the volatility of the risky asset was described by a Heston model. Optimal investment-consumption policies which maximize the expected discounted utility of terminal wealth and accumulative consumption was found. By solving the corresponding Hamilton-Jacobi-Bellman（ HJB） equation,closed-form solutions for the value function as well as the investment-consumption policies in the power utility function case are obtained.