Ӧ�ø���ͳ�� 2010, 26(3) 270-276 DOI:      ISSN: 1001-4268 CN: 31-1256

����Ŀ¼ | ����Ŀ¼ | ������� | �߼�����                                                            [��ӡ��ҳ]   [�ر�]
ѧ������
��չ����
������Ϣ
Supporting info
PDF(235KB)
[HTMLȫ��]
�����[PDF]
�����
�����뷴��
�ѱ����Ƽ�������
�����ҵ����
�������ù�����
����
Email Alert
���Ĺؼ����������
������Ԥ��
���ƶ�����Ч��
Ͷ�����
��������
Malliavin����.
���������������
PubMed
���������´����������Ԥ�ڵ�����Ͷ���о�
�ĵǷ�,��Ϊ��,���꽨
���չ��̴�ѧ����ѧԺ,������ѧ��Ϣ��ѧ�뼼��ѧԺ
ժҪ��

���IJ���������Ϊʱ��ĺ����µĵ��ƶ�����Ч��,
�о�Mertonģ���ڴ�Ԥ�������µ��������Ѻ�Ͷ����Ͼ�������,
���к�����������������. ����Ч�ú���������,
�̻���Ͷ��������Ͷ�ʾ���, �����˺�������Ԥ�ڶ�����Ͷ�ʵ�Ӱ��.
����Ͷ����Ͼ����ɵ������΢�ַ��̺�Malliavin��������.

�ؼ����� ������Ԥ��   ���ƶ�����Ч��   Ͷ�����   ��������   Malliavin����.  
On Study of Optimal Investment with Ambiguity and Anticipation under Fluctuated Discounting Rate
Xia Dengfeng,Fei Weiyin,Liu Hongjian
School of Mathematics and Physics,
Anhui Polytechnic University,School of Information Science and Technology,
Donghua University
Abstract:

This paper, adopting the recursive multiple-priors
utility with fluctuated discounting rate, studies the optimal
consumption and portfolio choice in a Merton-style model with
anticipation when there is a difference between ambiguity and risk.
In the case of a power utility function, the paper characterizes the
optimal investment which is affected by both ambiguity and
anticipation. The optimal portfolio is derived in terms of backward
stochastic differential equation and Malliavin derivatives.

Keywords: Ambiguity and anticipation   recursivemultiple-priors utility   optimal portfolio   enlargement offiltrations   Malliavin derivatives.  
�ո����� 1900-01-01 �޻����� 1900-01-01 ����淢������  
DOI:
������Ŀ:

ͨѶ����: �ĵǷ�
���߼��:
����Email:

�ο����ף�
�������������

Copyright by Ӧ�ø���ͳ��