随机利率环境下基于二次效用函数的动态投资组合

Dynamic Portfolio Selection with Stochastic Interest Rates for Quadratic Utility Maximizing

  • 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.

     

    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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