非线性股票动态系统的随机最优投资问题.pdf

非线性股票动态系统的随机最优投资问题   ℄ ℄℄ x ℄ ℄ T  ℄℄ ℄ ℄ ℄ ℄   
 ℄ Stochastic Problems of Optimal Investment with Non-linear Stock Dynamic Systems Abstract: The optimal investment problem of an investor trading in different as- sets is to choose an optimal investment strategy. To be more precise, an investor endowed with a given initial capital x has to decide how many shares of which asset he should hold at what time instant to maximise his expected utility of his total wealth at the time horizon T . In this paper, we study the stochastic models of optimal investment with non-linear stock dynamic system. The agent trades between a bond and a stock account in the models. The price of the bond is deterministic as opposed to the stock price which is modelled as a diffusion process. The main assumption is that the coefficients of the stock price diffusion are abitrary non-linear function of the underlying process. This assumption breaks the rules that the coefficients of the stock price diffusion are only constant or deterministic functions of time and makes the case of stochastic volatility perfectly correlated with the underly- ing stock. The investor’s goal is to maximize his expected utility from terminal wealth. In the artical, we choose exponential function and logarithmic function as the special utility functions and give the derivation of the close form solutions for the value functions and optimal policies in the case that using the new utility functions. In addition, we a