| 期望未来损失约束下的最优投资问题 |
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| 引用本文： | 郭福华,邓飞其. 期望未来损失约束下的最优投资问题[J]. 管理科学学报, 2009, 0(2) |
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| 作者姓名： | 郭福华 邓飞其 |
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| 作者单位： | 1. 浙江师范大学工商管理学院,金华,321004
2. 华南理工大学系统工程研究所,广州,510640 |
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| 摘 要： | 在标准的Black-Scholes 型金融市场下,建立了期望未来损失( expected future loss;EFL)约束下基于终端财富效用最大化的投资组合选择模型.运用鞅和优化方法,得到了一般效用投资者在投资计划期内任意时刻的最优财富和最优投资组合选择策略.在对数效用函数下,得到了投资者在投资计划期内任意时刻的最优财富和最优投资组合选择策略的显式表达式.
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| 关 键 词： | 期望未来损失 效用函数 最优财富 最优投资 |
Optimal investment problem under constraint of expected future loss |
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| GUO Fu-hua,DENG Fei-qi. Optimal investment problem under constraint of expected future loss[J]. Journal of Management Sciences in China, 2009, 0(2) |
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| Authors: | GUO Fu-hua DENG Fei-qi |
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| Affiliation: | GUO Fu-hua1,DENG Fei-qi2 1.College of Business Administration,Zhejiang Normal University,Jinhua 321004,China,2.Institute of Systems Engineering,South China University of Technology,Guangzhou 510640 |
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| Abstract: | In the standard Black-Scholes type of financial markets,the portfolio selection model based on utility maximization from terminal wealth under the constraint of expected future loss(EFL) is established.The general utility investor's optimal wealth and optimal portfolio selection strategies at any time over an investment planning horizon are derived by using methods of martingale and optimization.Especially,under logarithmic utility,explicit expressions for the investor's optimal wealth and optimal portfolio... |
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| Keywords: | EFL utility function optimal wealth optimal investment |
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