基于存贷利差和常弹性方差模型的最优投资策略
PDF下载 (225)蔡江佳,李 全.基于存贷利差和常弹性方差模型的最优投资策略[J].宁波大学学报(理工版),2021,34(5):49-54.DOI:
CAI Jiangjia,LI Quan.Optimal investment strategies based on deposit-loan spread and constant elasticity of variance model[J].Journal of Ningbo University(Natural Science & Engineering Edition),2021,34(5):49-54.DOI:
| Title: | Optimal investment strategies based on deposit-loan spread and constant elasticity of variance model |
| 作者: | 蔡江佳, 李 全 |
| Author(s): | CAI Jiangjia, LI Quan |
| 关键词: | 常弹性方差; 最优投资; Legendre转换 |
| Keywords: | constant elasticity variance; optimal investment; Legendre transformation |
| 分类号: | O211.9 |
| 文献标识码: | A |
| 摘要: | 研究借贷利率不同和风险资产价格服从常弹性方差模型下的最优投资策略. 在指数效用函数和对数效用函数下, 分别建立相应的Hamilton-Jacobi-Bellman (HJB)方程, 利用随机控制理论和Legendre转换对HJB方程求解, 得到了相应效用函数下最优投资策略的解析解, 最后对最优投资策略进行数值求解, 并给出了经济学解释. |
| Abstract: | The asset price venturing processes are assumed to fit a constant elasticity of variance model. The optimal portfolio strategies are studied with different borrowing interest rates. With the exponential utility function and the logarithmic utility function, the corresponding Hamilton-Jacobi-Bellman equations are established, and the explicit solutions of the optimal investment strategies are obtained with the corresponding utility functions using stochastic control theory and Legendre transformation. Finally, some numerical examples of the optimal investment strategies are given and an explanation in economics is also provided. |
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| 备注/Memo: | 收稿日期: 2021－04－29. 宁波大学学报（理工版）网址: http://journallg.nbu.edu.cn/ 基金项目: 宁波市自然科学基金（202003N4144）. 第一作者: 蔡江佳（1987－）, 女, 山西寿阳人, 助理实验师, 主要研究方向: 金融数学. E-mail: caijiangjia@nbu.edu.cn 宁波大学学报（理工版）网址：http://journallg.nbu.edu.cn/ |
