最优动态投资策略仿真研究

The Simulating Calculation Researchon Optimal Dynamic Investment Strategy

为解决企业在维持原有运营过程前提下,如何分配资金到股票市场获得更大利益的问题,提出了有动态资金注入的多阶段投资策略,即在观察时刻,将超过边界a的全部盈余加入到投资资金中,进行多阶段动态投资。将企业的盈余过程由布朗运动刻画,对风险和收益的态度由效用函数刻画,运用动态规划算法,研究了使得效用函数最大时企业的投资组合问题。得到了各时刻的最优投资组合解析表达式。通过Matlab对不同效用函数下的最优投资策略进行仿真计算,得到了最优投资策略的数值解,验证了上述投资策略的可行性和有效性。

In order to solve the problem of allocating funds to the stock market to obtain more benefits on the basis of maintaining original operation, this paper presented an investment strategy with dynamic capital injection. At the observation time, all of the surpluses above the level A were used as capital to do multi-stage dynamic investment. The surplus of the company was depicted by a Brownian model and the attitude towards risk was depicted by utility function. We studied the investment portfolio using dynamic programming algorithm on the basis of maximizing utility function, and simulated the analytic expression of optimal investment strategy. Besides, we used Matlab to do simulating calculation under different utility functions. The simulating calculation results show that the investment strategy is feasible and effective.