Regime-switching下带VaR限制的最优投资消费策略  

Optimal investment and consumption strategies with Regime-switching and VaR constraint

作　　者：耿国强[1] 刘宣会[1] 

机构地区：[1]西安工程大学理学院,陕西西安710048

出　　处：《纺织高校基础科学学报》2012年第4期485-488,493,共5页Basic Sciences Journal of Textile Universities

基　　金：陕西省教育厅自然科学研究项目(11JK0499)

摘　　要：投资者投资一种风险资产和一种无风险资产,风险资产价格满足带有马尔科夫调制的几何布朗运动.考虑加入VaR限制来表达投资人对风险的要求,并给出加入限制后的HJB方程.最后利用拉格朗日极值法得到模型的一阶最优条件并结合HJB方程得最优投资和消费策略.It is considered that the investors invest in a risky assets and a risk-free assets,the prices of the risky assets meet the Markov modulated geometric Brownian motion. Joining the VaR constraint to ex- press the risk requirements of the investors,and the HJB equation with constraint was given. Finally,the first order optimal conditions model was obtained by Lagrange extreme value method,the optimal ivest- ment and consumption strategies were gained by combining the HJB equation.

关 键 词：HJB方程 VaR限制 最优投资消费 

分 类 号：O211[理学—概率论与数理统计]