受约束的组合投资模型研究──最终财富效用优化
Study of Constrained Portfolio Model on Optimization of Utility from Terminal Wealth
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摘要: 本义研究了证券投资者在某凸闭集下进行投资时使投资者的最终财富平均效用最大化的随机控制问题.获得了最优组合投资的等价性条件;证明了最优组合投资的存在性;在确定性系数下,给出了最优投资反馈公式并讨论了一个简单的例子。Abstract: The present paper studies the stochastic control problem of maximizing expected utility from terminal wealth, when portfolio is constrained to take values in a given closed, convex subset of Rd.Equivalent conditions for optimality are obtained. Existence theorem for optimal portfolio is provided. On condition to deterministic coefficients, optimal portfolio formulae in feedback is given, and a simple example is discussed.