摘要
假设金融市场中存在一种无风险资产和多种风险资产,且无风险利率是动态变化的,是服从Vasicek利率模型的随机过程。应用Legendre变换和动态规划原理对效用最大化下的最优投资策略进行了研究,得到了幂效用和指数效用下最优投资策略的显示解。算例分析了参数变动对最优投资策略的影响。
Assume that there are one risk-free asset and multiple risky assets in the financial market and risk-free interest rate is a stochastic process of dynamic change,which is driven by the Vasicek model.The Legendre transform and dynamic programming principle are applied to investigate the optimal investment strategy under utility maximizing criterion and the explicit solutions for power utility and exponential utility are derived.A numerical example is given to analyze the impact of model parameters on the optimal investment strategy.
出处
《系统工程》
CSSCI
CSCD
北大核心
2014年第12期14-20,共7页
Systems Engineering
基金
教育部人文社会科学研究青年基金资助项目(11YJC790006)
天津市高等学校科技发展基金资助项目(20100821)
