奈特不确定下带高水印激励费的对冲基金最优投资问题研究  

Study of optimal portfolio of hedge fund with high water-mark incentive fees under knightian uncertainty

作　　者：吴停停[1] 费为银[1] 梁勇[1] 

机构地区：[1]安徽工程大学数理学院,安徽芜湖241000

出　　处：《安徽工程大学学报》2015年第2期84-88,共5页Journal of Anhui Polytechnic University

基　　金：国家自然科学基金资助项目(71171003)

摘　　要：研究了风险资产价格具有Knight不确定下对冲基金管理者的最优投资决策问题.对冲基金管理者以获得的终端费用(包括管理费和业绩费)预期效用的最大化为目标,此时风险资产受G-布朗运动干扰.然后通过非线性期望下随机分析和随机动态规划方法,推导出带有特定边界条件值函数的G-HJB方程,得出相应的基金管理者最优投资组合策略.This paper studies the strategy of the fund manager＇s portfolio as the volatility of the asset price has Knightian uncertainty.The hedge fund managers maximize the expected u^i＇lity of the terminal fees including management fees.Performance fees and a risky asset are disturbed by a G-Brownian motion. Then the corresponding G-HJB （G-Hamilton-Jacobi-Bellman） equation of the value function with specif- ic boundary conditions is deduced through the stochastic calculus and the stochastic dynamic program- ming method under nonlinear expectations,and the corresponding optimal portfolio strategy of the fund manager is obtained.

关 键 词：Knight不确定 最优投资组合 对冲基金 高水印 G-HJB方程 

分 类 号：O211.63[理学—概率论与数理统计] F224.11[理学—数学]