| 随机利率环境下基于二次效用函数的动态投资组合(英文) |
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| 引用本文： | 常浩,常凯.随机利率环境下基于二次效用函数的动态投资组合(英文)[J].应用概率统计,2012,28(3):301-310. |
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| 作者姓名： | 常浩 常凯 |
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| 作者单位： | 天津工业大学数学系;天津大学管理学院;哈尔滨工业大学深圳研究生院 |
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| 基金项目： | supported by the Higher School Science and Technology Development Foundation of Tianjin(20100821);the Humanities and Social Science Research Youth Foundation of Ministry of Education (11YJC790006) |
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| 摘 要： | 研究随机利率环境下基于效用最大化的动态投资组合,并假设利率是服从Ho-Lee利率模型和Vasicek利率模型的随机过程.应用动态规划原理得到值函数满足的HJB方程,并应用Legendre变换得到其对偶方程.最后,应用变量替换对二次效用函数下的最优投资策略进行研究,得到了最优投资策略的显示解.
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| 关 键 词： | Ho-Lee利率模型 Vasicek利率模型 最优投资组合 二次效用 动态规划 Legendre变换 |
Dynamic Portfolio Selection with Stochastic Interest Rates for Quadratic Utility Maximizing |
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| Chang Hao.Dynamic Portfolio Selection with Stochastic Interest Rates for Quadratic Utility Maximizing[J].Chinese Journal of Applied Probability and Statisties,2012,28(3):301-310. |
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| Authors: | Chang Hao |
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| Institution: | Department of Mathematics, Tianjin Polytechnic University, School of Management, Tianjin University, School of Management, Tianjin UniversityShenzhen Graduate School, Harbin Institute of
Technology |
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| Abstract: | This paper is concerned with a portfolio
selection problem with stochastic interest rates and assumes that
interest rate is driven by the Ho-Lee model and the Vasicek model
respectively. We apply dynamic programming principle to derive the
HJB equation and use Legendre transform to obtain the dual one.
Quadratic utility function is taken for our analysis. The
closed-form solutions to the optimal investment strategy are derived
by applying variable change technique. |
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| Keywords: | |
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