基于加权效用的最优投资组合  

The optimal investment portfolio based on weighted utility

作　　者：王磊[1] 董迎辉 WANG Lei;DONG Yinghui(School of Mathematics Sciences,SUST,Suzhou 215009,China)

机构地区：[1]苏州科技大学数学科学学院,江苏苏州215009

出　　处：《苏州科技大学学报（自然科学版）》2023年第2期31-37,共7页Journal of Suzhou University of Science and Technology（Natural Science Edition）

基　　金：国家自然科学基金资助项目(12071335)。

摘　　要：在随机利率模型下研究了基金经理的最优投资组合选择问题。在同时考虑到绝对财富值和绝对财富值相对于某个参照点的变化值对投资组合选择的影响的情况下,基金经理以使得某个凹效用和S型效用的加权平均效用最大化为原则来选择最优投资策略。应用凹化方法和鞅方法得出了加权效用下的最优财富及最优投资策略。This paper studies the selection of the optimal investment portfolio of a fund manager under a stochastic interest rate model.The fund manager chose the optimal investment strategy by maximizing the weighted utility of concave utility and S-shaped utility under the assumption that he made decisions based on both the absolute level of the total wealth and the change of the absolute wealth value related to a reference point.The optimal wealth and the optimal investment strategy under weighted utility are obtained by using a concavification technique and a martingale method.

关 键 词：随机利率 加权效用 非凹效用 凹化 

分 类 号：O211.5[理学—概率论与数理统计]