时变波动率和随机利率模型下的动态投资研究

Research on dynamic portfolio of time-varying volatility and stochastic interest rate mode

在金融市场中,假设风险资产价格的波动率随时间的变化而变化,它的函数表达式由随机环境下的波动率去掉随机项的部分确定,无风险利率是随机的,用Hull-White随机利率模型来刻画,根据动态规划中的Bellman最优性原理,建立了基于幂效用函数的风险资产和无风险资产的动态投资组合模型,给出了使期望效用最大化的最优投资策略.

In the financial markets, volatility is assumed that the price of risky asset changes over time and its function expression is determined by the stochastic volatility without the part of a random item.The non-risk in- terest rate is random ,with Hull-White stochastic interest rate models to describe.The paper,based on dynamic programming in the Bellman optimality principle, establishes a dynamic portfolio model based on a power utility function and obtains the implicit solution of optimal investment strategies.And finally then show the explicit ex- pressions of optimal investment strategy and the corresponding conclusions.