期望未来损失约束下的最优投资问题  

Optimal investment problem under constraint of expected future loss

作　　者：郭福华[1] 邓飞其[2] 

机构地区：[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

出　　处：《管理科学学报》2009年第2期54-59,共6页Journal of Management Sciences in China

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.In the standard Black-Scholes type of financial markets, the portfolio selection model based on utili- ty 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 invest- ment planning horizon are derived by using methods of martingale and optimization. Especially, under loga- rithmic utility, explicit expressions for the investor＇ s optimal wealth and optimal portfolio selection strategies at any time over an investment planning horizon are obtained.

关 键 词：期望未来损失 效用函数 最优财富 最优投资 

分 类 号：F830.9[经济管理—金融学]