含有随机波动的风险敏感性控制的最优投资模型

Optimal Investment Model of Risk Sensitivity Control with Stochastic Volatility

该文主要讨论了由一个无风险资产和N个风险资产组成的投资组合,在波动率受经济因子影响以及不考虑交易费用和消费的情况下,利用风险敏感性动态规划控制在有限期限和无限期限内实现投资利润的最大化.

This paper presents a portfolio consisting of one asset without risk and N risky assets. (Assuming) that volatility is affected by economic factors, and the transaction costs and consumption can be ignored, this paper considers a particular investment model to maximize profit within limited or (unlimited) time horizon by using dynamical programming for risk-sensitivity control.