摘要
投资者投资一种风险资产和一种无风险资产,风险资产价格满足带有马尔科夫调制的几何布朗运动.考虑加入VaR限制来表达投资人对风险的要求,并给出加入限制后的HJB方程.最后利用拉格朗日极值法得到模型的一阶最优条件并结合HJB方程得最优投资和消费策略.
It is considered that the investors invest in a risky assets and a risk-free assets,the prices of the risky assets meet the Markov modulated geometric Brownian motion. Joining the VaR constraint to ex- press the risk requirements of the investors,and the HJB equation with constraint was given. Finally,the first order optimal conditions model was obtained by Lagrange extreme value method,the optimal ivest- ment and consumption strategies were gained by combining the HJB equation.
出处
《纺织高校基础科学学报》
CAS
2012年第4期485-488,493,共5页
Basic Sciences Journal of Textile Universities
基金
陕西省教育厅自然科学研究项目(11JK0499)
关键词
HJB方程
VaR限制
最优投资消费
HJB equation
the VaR limit
optimal investment and consumption
