英文标题：
《Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target》
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作者：
Hanqing Jin and Yimin Yang
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最新提交年份：
2014
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英文摘要：
In this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by finding an equilibrium control under the given definition as our optimal control. We firstly derive a sufficient equilibrium condition for second-order continuously differentiable utility funtions. Then we use power functions of order two, three and four in our problem and find the respective condtions for obtaining an equilibrium for our different problems. In the last part of the paper, we consider using another definition of equilibrium to solve our problem when the utility function that we use in our problem is the negative part of x and also find the condtions for obtaining an equilibrium.
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中文摘要：
本文以一个移动目标为约束条件，利用不同的效用函数来解决时间不一致的投资组合选择问题。我们通过在给定的定义下找到一个平衡控制作为我们的最优控制来解决这个问题。首先给出了二阶连续可微效用函数的一个充分平衡条件。然后，我们在问题中使用二阶、三阶和四阶的幂函数，并分别找到获得不同问题平衡的条件。在本文的最后一部分，我们考虑使用另一种均衡的定义来解决我们的问题，当我们在问题中使用的效用函数是x的负部分时，我们还找到了获得均衡的条件。
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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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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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