| 模式转换下随机利率与违约风险的投资组合 |
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| 引用本文： | 梁月,王子亭,王晓洁.模式转换下随机利率与违约风险的投资组合[J].重庆工商大学学报(自然科学版),2012,29(2):28-33,38. |
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| 作者姓名： | 梁月 王子亭 王晓洁 |
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| 作者单位： | 中国石油大学理学院,山东青岛,266555 |
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| 基金项目： | 中国石油大学(华东)研究生创新基金资助项目 |
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| 摘 要： | 考虑Markov调制的模式转换市场模型,研究了影响金融市场的宏观因素,其中随机利率风险服从Vasicek模型,违约风险服从CIR模型;研究了市场下的最优投资组合问题,应用动态规划原理、HJB方程理论及偏微分方程理论,得到HJB方程的闭形式的解,并证明了HJB方程的解是最优投资组合的值函数,得到了最优投资策略的显式表示。
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| 关 键 词： | 模式转换 随机利率 违约风险 HJB方程 CRRA型效用函数 |
Optimal Portfolio Selection with Regime-switching Considering Stochastic Interest Rate and Default Risk |
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| LIANG Yue,WANG Zi-ting,WANG Xiao-jie.Optimal Portfolio Selection with Regime-switching Considering Stochastic Interest Rate and Default Risk[J].Journal of Chongqing Technology and Business University:Natural Science Edition,2012,29(2):28-33,38. |
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| Authors: | LIANG Yue WANG Zi-ting WANG Xiao-jie |
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| Institution: | (School of Science,China University of Petroleum,Shandong Qingdao 266555,China) |
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| Abstract: | This paper studies Markov modulated regime-swithcing market model which concerns about macrofactor influencing financial market in which stochastic interest rates follow Vasicek Model and default risk abides by CIR Model.The optimal portfolio under the described market is studied,the closed-form solution... |
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| Keywords: | regime-switching stochastic interest rate default risk HJB equation CRRA utility function |
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