摘要
应用随机最优控制方法对Heston随机波动率模型下的动态投资组合问题进行了研究,得到了幂效用和指数效用下最优投资策略的显示解,并给出一些数值计算结果分析了市场参数对最优投资策略的影响.
This paper used stochastic optimal control theory to investigate a dynamic portfolio selection problem with H eston＇s stochastic volatility, and obtained the closed-form solutions to the optimal investment strategies in the power and ex-ponential utility cases. In addition, some numerical results were provided to illustrate the effect of market parameters on the optimal policies.
出处
《经济数学》
2013年第2期48-54,共7页
Journal of Quantitative Economics
基金
教育部人文社会科学研究青年基金(11YJC790006)
天津市高等学校科技发展基金(20100821)
关键词
随机波动率
动态投资组合
动态规划
幂效用
指数效用
最优投资策略
stochastic volatility
dynamic portfolio selection
dynamic programming
power utility
exponential utility
optimal investment strategy
