Family optimal investment strategy for a random household expenditure under the CEV model
Family optimal investment strategy for a random household expenditure under the CEV model
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DOI：
10.1016/j.cam.2019.01.001
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发表时间：
2019-07
期刊：
影响因子：
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通讯作者：
W. Yuan;S. Lai
中科院分区：
文献类型：
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作者：
W. Yuan;S. Lai
研究了随机家庭支出的家庭最优投资策略。假设该家庭被允许投资于由一项无风险资产和一项风险资产组成的金融市场，其价格过程满足恒定方差弹性（CEV）模型。目标是最大化家庭终端财富的预期指数效用，获得最优的投资策略。利用随机控制理论和对偶理论技术，我们推导了Hamilton-Jacobi-Bellman (HJB)方程，并获得了慢波动状态下最优投资策略的近似表达式。给出了数值例子来说明参数对最优策略的影响。
The family optimal investment strategy for a random household expenditure is investigated. Assume that the family is allowed to invest in a financial market consisting of one risk-free asset and one risky asset whose price process satisfies the constant elasticity of variance (CEV) model. The target is to maximize the expected exponential utility of the family terminal wealth and obtain the optimal investment strategy. Employing techniques of stochastic control theory and the dual theory, we derive the Hamilton–Jacobi–Bellman (HJB) equation and obtain an approximate expression for the optimal investment strategy in the slow-fluctuating regime. Numerical examples are presented to illustrate the effects of parameters on the optimal strategies.