| Heston随机波动率模型下的资产负债管理问题 |
| |
| 引用本文： | 樊顺厚,马 娟 ,常 浩.Heston随机波动率模型下的资产负债管理问题[J].经济数学,2016(3):11-19. |
| |
| 作者姓名： | 樊顺厚 马 娟 常 浩 |
| |
| 作者单位： | 1. 天津工业大学理学院,天津,300387;2. 天津工业大学理学院，天津 300387; 天津大学管理与经济学部，天津 300072 |
| |
| 基金项目： | 中国博士后科学基金资助项目(批准号2014M560185，2016T90203)，天津市自然科学基金青年项目(批准号15JCQNJC04000)，教育部人文社会科学研究规划基金项目(批准号16YJA790004) |
| |
| 摘 要： | 应用随机最优控制方法研究Heston随机波动率模型下带有负债过程的动态投资组合问题,其中假设股票价格服从Heston随机波动率模型,负债过程由带漂移的布朗运动所驱动.金融市场由一种无风险资产和一种风险资产组成.应用随机动态规划原理和变量替换法得出了上述问题在幂效用和指数效用函数下最优投资策略的显示解,并给出数值算例分别分析了市场参数在幂效用和指数效用函数下对最优投资策略的影响.
|
| 关 键 词： | 金融学 最优投资策略 动态规划原理 资产 负债管理 |
Asset-Liability Management Problem under the Heston’s Stochastic Volatility Model |
| |
| Institution: | (1. School of Science, Tianjin Polytechnic University, Tianjin 300387, China; 2. College of Management and Economics, Tianjin University, Tianjin 300072, China) |
| |
| Abstract: | The stochastic optimal control theory was used to study a dynamic portfolio selection problem with liability process under the Heston's stochastic volatility model.Stock price was assumed to be governed by the Hestonmodel,and the li-ability process was supposed to be driven by the drifted Brownian motion.The financial market consists of one risk-free asset and one risky asset.The explicit solutions to the optimal investment strategies under power utility and exponential utility were obtained by using stochastic dynamic programming principle and variable separation method.Finally,a numerical example was given to illustrate the effect of market parameters on the optimal investment strategy. |
| |
| Keywords: | finance optimal investment strategy dynamic programming principle asset-liability management |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《经济数学》浏览原始摘要信息 |
| 点击此处可从《经济数学》下载免费的PDF全文 |
