英文标题：
《Optimal Investment with Stopping in Finite Horizon》
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作者：
Xiongfei Jian and Xun Li and Fahuai Yi
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最新提交年份：
2014
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英文摘要：
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed dynamic optimal control and stopping problems in the existing literature, to study a manager\'s decision. We formulate our model to a free boundary problem of a fully nonlinear equation. Furthermore, by means of a dual transformation for the above problem, we convert the above problem to a new free boundary problem of a linear equation. Finally, we apply the theoretical results to challenging, yet practically relevant and important, risk-sensitive problems in wealth management to obtain the properties of the optimal strategy and the right time to achieve a certain level over a finite time investment horizon.
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中文摘要：
在本文中，我们研究在有限时间范围内同时具有随机控制和最优停止的动态优化问题。本文旨在开发新的方法来研究管理者的决策，这与现有文献中的混合动态最优控制和停止问题有很大不同。我们将我们的模型表述为一个完全非线性方程的自由边界问题。此外，通过对上述问题的对偶变换，我们将上述问题转化为一个新的线性方程自由边界问题。最后，我们将理论结果应用于富有挑战性、但实际相关且重要的财富管理风险敏感问题，以获得最优策略的性质以及在有限时间投资期限内达到一定水平的正确时间。
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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：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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