分形布朗运动下最优投保和消费策略  

Optimal strategies on portfolio and consumption with insurance under fractional Brownian motion

作　　者：张卫国[1] 肖炜麟[1] 张惜丽[1] 

机构地区：[1]华南理工大学工商管理学院,广州510640

出　　处：《管理科学学报》2010年第1期78-84,共7页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70825005);教育部新世纪优秀人才支持计划资助项目(06-0749);教育部人文社会科学研究规划基金项目(07JA630048)

摘　　要：基于Merton的最优消费和投资组合模型,通过假设风险资产的价格变化服从几何分形布朗运动,探讨了一类具有人寿保险的最优投资消费问题.首先根据投资者在整个生命周期的消费和投保效用期望值最大的原则,利用贝尔曼动态规划原理,建立了最优投保和消费策略模型.然后在给定消费和遗赠评价效用函数的情况下,给出了最优投保和消费的闭式解,并获得了最优投资组合受模型参数变化影响的一些重要性质.最后,通过数值例子讨论了时间间隔、赫斯特指数变化时最优投保和最大期望效用的变化趋势.Based on Merton＇ s optimal consumption and investment model, this paper researches a class of optimal portfolio and consumption problem that combines life insurance when the risky asset follows geometric frac tional Brownian motion. According to the principle of maximizing the investor＇ s expected lifetime utility, the optimal portfolio and consumption model with insurance is constructed by using Bellman dynamic programming principle. Then, the closed-form solutions for the optimal portfolio, insurance and consumption are derived under the condition that both the special consumption utility function and scrap function are given. Furthermore, some important properties for the influence of parametric changes on the optimal portfolio are also obtained. Finally, numerical examples are presented to discuss the change over the optimal portfolio and insurance and maximal utility in varying time intervals and Hurst exponent.

关 键 词：分形布朗运动 赫斯特指数 效用函数 投资组合和消费 人寿保险 

分 类 号：F830.59[经济管理—金融学]