| 模糊厌恶下含汇率风险的最优投资策略 |
| |
| 引用本文： | 李,全 徐,松 王,伟.模糊厌恶下含汇率风险的最优投资策略[J].宁波大学学报(理工版),2021,0(2):102-108. |
| |
| 作者姓名： | 李 全 徐 松 王 伟 |
| |
| 作者单位： | 宁波大学 数学与统计学院, 浙江 宁波 315211 |
| |
| 摘 要： | 研究了模糊厌恶和指数效用情形下含汇率风险的稳健最优投资问题. 假定投资者是模糊厌恶且可投资无风险债券、国外股票和国内股票3种资产, 在最大化终端财富期望效用的目标下, 通过随机动态规划原理得到相应的HJB(Hamilton-Jacobi-Bellman)方程, 然后通过求解HJB方程和一阶最优条件得到模糊厌恶和模糊中性2种情形下最优投资策略的解析解, 最后给出数值结果和经济学解释. 结果表明, 模糊厌恶程度和汇率风险对最优投资策略影响较大.
|
| 关 键 词： | 模糊厌恶 汇率风险 最优投资组合 |
Optimal investment strategies with exchange rate risk and ambiguity aversion |
| |
| LI Quan,XU Song,WANG Wei.Optimal investment strategies with exchange rate risk and ambiguity aversion[J].Journal of Ningbo University(Natural Science and Engineering Edition),2021,0(2):102-108. |
| |
| Authors: | LI Quan XU Song WANG Wei |
| |
| Affiliation: | School of Mathematics and Statistics, Ningbo University, Ningbo 315211, China |
| |
| Abstract: | The robust optimal investment problem with exchange rate risk is studied in the case of ambiguity aversion and exponential utility. We assume that investors are those of ambiguity aversion and plan on investing in risk-free bonds, foreign stocks and domestic stocks. With the goal of maximizing the expected utility of terminal wealth, the corresponding HJB equation is obtained using the principle of stochastic dynamic programming, and then the analytical solution of the optimal investment strategies with ambiguity aversion and ambiguity neutrality are obtained by using the first-order optimal conditions and solving the HJB equation. Finally, numerical results and economic explanations are given. The numerical results show that the degree of ambiguity aversion and exchange rate risk impose a great influence on the optimal investment strategies. |
| |
| Keywords: | ambiguity aversion exchange rate risk optimal portfolio |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《宁波大学学报(理工版)》浏览原始摘要信息 |
|
点击此处可从《宁波大学学报(理工版)》下载全文 |
|
