Risk-sensitive control and an optimal investment model
Risk-sensitive control and an optimal investment model
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DOI：
10.1111/1467-9965.00089
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发表时间：
2000-04-01
影响因子：
1.6
通讯作者：
Sheu, SJ
中科院分区：
文献类型：
--
作者：
Fleming, WH;Sheu, SJ
考虑一个最优投资模型，目标是最大化财富的期望效用的长期增长率。在该模型中，证券的平均收益率明显受到潜在经济因素的影响。效用函数是HARA。该问题被转化为一个无限时间范围的风险敏感控制问题。我们研究了与这个中心问题相关的动态规划方程，并得出了投资问题的一些后果。
We consider an optimal investment model in which the goal is to maximize the long-term growth rate of expected utility of wealth. In the model, the mean returns of the securities are explicitly affected by the underlying economic factors. The utility function is HARA. The problem is reformulated as an infinite time horizon risk-sensitive control problem. We study the dynamic programming equation associated with this central problem and derive some consequences of the investment problem.