| 不确定的时间范围下含期权的最优投资决策 |
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| 引用本文： | 张鸿雁,王真军,李学全.不确定的时间范围下含期权的最优投资决策[J].数学的实践与认识,2010,40(1). |
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| 作者姓名： | 张鸿雁 王真军 李学全 |
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| 作者单位： | 1. 中南大学,数学科学与计算技术学院,湖南,长沙,410075
2. 湖南第一师范学院,湖南,长沙,410083 |
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| 基金项目： | 湖南省教育厅科技处课题资助(05B070) |
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| 摘 要： | 不同于以往研究的含期权的最优投资消费决策,研究了不确定的时间范围下含期权的最优投资决策,运用动态规划原理和随机分析的方法,解决对应的最优控制问题,最优策略可通过对应的HJB方程得到,并显式地得到了HARA效用下的最优投资策略及最优财富过程.
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| 关 键 词： | 不确定的时间范围 期权 最优策略 |
Optimal Investment Decisions Including Option When Time-horizon is Uncertain |
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| ZHANG Hong-yan,WANG Zhen-jun,LI Xue-quan.Optimal Investment Decisions Including Option When Time-horizon is Uncertain[J].Mathematics in Practice and Theory,2010,40(1). |
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| Authors: | ZHANG Hong-yan WANG Zhen-jun LI Xue-quan |
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| Institution: | ZHANG Hong-yan1,WANG Zhen-jun1,LI Xue-quan2(1.School of Mathematical Science , Computing Technology,CSU,Changsha 410075,China)(2.Hunan First Normal University,Changsha 410083,China) |
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| Abstract: | Different from the study of optimal investment and consumption decisions including option in the past,we studied optimal investment decisions including option when time-horizon is uncertain.Applying dynamic programming principle and stochastic analysis,we solved the corresponding optimal control problem.Optimal strategies were obtained via Hamilton-Jacobi-Bellman equation,and we got the optimal strategies and wealth process for HARA utility explicitly. |
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| Keywords: | uncertain time-horizon option optimal strategy |
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