| 随机参考点下带有最小收益约束的投资组合 |
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| 引用本文： | 胡双霞,王晶海.随机参考点下带有最小收益约束的投资组合[J].福州大学学报(自然科学版),2018,46(1):32-37. |
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| 作者姓名： | 胡双霞 王晶海 |
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| 作者单位： | 福州大学数学与计算机科学院 |
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| 基金项目： | 本文得到福建省自然科学基金资助. 项目编号2014J01008. 王晶海 |
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| 摘 要： | 在完全市场下,考虑基于随机参考点的带有下限约束的证券组合投资问题.利用等量代换,将随机参考点等价转化为另一损失厌恶水平下的固定参考点,进而应用鞅方法求解固定参考点下的模型,给出损失厌恶投资者的最优财富过程和最优投资策略的解析表达式.
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| 关 键 词： | 随机参考点 下限约束 等量代换 鞅方法 损失厌恶 |
| 收稿时间： | 2016/10/27 0:00:00 |
| 修稿时间： | 2016/11/27 0:00:00 |
Optimal investment with minimum performance constraints under dynamic reference point |
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| HU Shuangxia and WANG Jinghai.Optimal investment with minimum performance constraints under dynamic reference point[J].Journal of Fuzhou University(Natural Science Edition),2018,46(1):32-37. |
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| Authors: | HU Shuangxia and WANG Jinghai |
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| Institution: | College of Mathematics and Computer Science, Fuzhou University |
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| Abstract: | This paper analyzes the optimal investment strategy with minimum performance constraints basedon dynamic reference point in a complete market. The random reference point is equivalent to another loss averse level under the fixed reference point by using equivalent transformation.Then,by applying the martingale method, we derive the analytical expression of optimal risky asset weight,based on which we obtain the expected optimal terminal wealth of loss aversion investors whose reference point is dynamically adjusted. |
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| Keywords: | dynamic reference point the constraint of the minimum return equivalent substitution martingale method loss aversion |
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