模糊市场中含有投资约束的最优投资消费问题

Optimal Investment-Consumption Choice with Portfolio Constraint in Ambiguity Market

  • 摘要: 本文假设金融市场中的投资具有约束,期望回报率向量和波动率矩阵均具有不确定性。首先建立该市场中,鲁棒效用下的最优投资消费模型。然后利用相关的结果将该问题转化为一个有约束条件的多元函数的鞍点问题,其中的鞍点对应着原始模型中的最优投资消费策略和最坏情形下的市场参数。最后利用相关的数学工具给出最优投资消费策略和最坏情形下市场参数的显示表达式,并提供相应的金融解释。

     

    Abstract: In this paper, we consider an optimal investment-consumption choice problem with portfolio constraint, where the expected return rate and volatility are uncertain. We formulate it into an optimal stochastic control problem, and then transform it into a saddle point problem of a function with constraint via some existing results. Finally, we provide the explicit form of the optimal investment-consumption strategies and the worst-case parameters, and give some financial explanation about some results.

     

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