英文标题：
《Optimal Strategies for a Long-Term Static Investor》
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作者：
Lingjiong Zhu
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最新提交年份：
2014
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英文摘要：
The optimal strategies for a long-term static investor are studied. Given a portfolio of a stock and a bond, we derive the optimal allocation of the capitols to maximize the expected long-term growth rate of a utility function of the wealth. When the bond has constant interest rate, three models for the underlying stock price processes are studied: Heston model, 3/2 model and jump diffusion model. We also study the optimal strategies for a portfolio in which the stock price process follows a Black-Scholes model and the bond process has a Vasicek interest rate that is correlated to the stock price.
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中文摘要：
研究了长期静态投资者的最优投资策略。给定一个股票和一个债券的投资组合，我们推导出资本的最优配置，以使财富效用函数的预期长期增长率最大化。在债券利率不变的情况下，研究了三种股票价格过程模型：赫斯顿模型、3/2模型和跳扩散模型。我们还研究了股票价格过程遵循Black-Scholes模型，债券过程具有与股票价格相关的Vasicek利率的投资组合的最优策略。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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