| 模式转换市场下含期权的投资组合问题 |
| |
| 引用本文： | 梁月,王子亭,王晓洁. 模式转换市场下含期权的投资组合问题[J]. 江南大学学报(自然科学版), 2011, 10(4): 485-490 |
| |
| 作者姓名： | 梁月 王子亭 王晓洁 |
| |
| 作者单位： | 中国石油大学(华东)理学院,山东青岛,266555 |
| |
| 基金项目： | 中国石油大学(华东)研究生创新基金项目(CXYB11-18) |
| |
| 摘 要： | 在Markov调制的模式转换市场下研究含有期权的投资组合问题。采用最大化期望终时财富的效用为目标,考虑确定时间水平与不确定时间水平;应用动态规划原理与HJB模型进行求解,得到不同市场模式下的最优投资策略,并且投资策略依赖于不同模式下的参数;得出不同市场模式投资于股票与以股票为标的资产的期权的财富并不是唯一的,二者满足线性关系(系数依赖于模式转换参数);给出了幂函数型效用函数下的值函数的表达式。
|
| 关 键 词： | 模式转换 HJB方程 期权 最优投资组合 |
Optimal Portfolio Selection Including Option with Regime Switching |
| |
| LIANG Yue,WANG Zi-ting,WANG Xiao-jie. Optimal Portfolio Selection Including Option with Regime Switching[J]. Journal of Southern Yangtze University:Natural Science Edition, 2011, 10(4): 485-490 |
| |
| Authors: | LIANG Yue WANG Zi-ting WANG Xiao-jie |
| |
| Affiliation: | LIANG Yue,WANG Zi-ting*,WANG Xiao-jie(Science School,China University of Petroleum(East China),Qingdao 266555,China) |
| |
| Abstract: | In this paper,we consider the optimal portfolio selection including option under a Markov modulated regime-switching market.We formulate the problem as an utility maximization problem over a finite time horizon and uncertain time horizon.By utilizing the dynamic programming principle,we derive a regime-switching HJB equation.We provide the optimal portfolio selection under different markets which depends on the corresponding parameters.In this paper,we also obtain an important result that the wealth investe... |
| |
| Keywords: | regime-switching HJB equation option optimal portfolio |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
