- 1、原创力文档(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。。
- 2、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载。
- 3、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
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
您可能关注的文档
最近下载
- Q∕SH 0102-2007 中国石化物料分类与代码.pdf
- 第1章 勾股定理——问题解决策略:反思(课件)2025-2026学年度北师大版数学八年级上册.pptx VIP
- 免疫规划知识培训课件.pptx VIP
- 创伤后机体反应及基本的创伤支持.ppt VIP
- 六年级上册信息技术浙教版第3课算法设计(教案).pdf VIP
- 平面向量单元测试题.doc VIP
- 野外驻训卫生防病【28页】.pptx VIP
- 合同协议-付款协议.doc VIP
- 2025年版中国药典微生物限度检查方法验证方案分析.doc VIP
- DB11T 1598.8-2020 居家养老服务规范 第8部分:呼叫服务.docx VIP
文档评论(0)