英文标题：
《Utility maximization in pure-jump models driven by marked point
processes and nonlinear wealth dynamics》
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作者：
Mauricio Junca and Rafael Serrano
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最新提交年份：
2015
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英文摘要：
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consider a market model with jumps driven by (multivariate) marked point processes and so-called non-linear wealth dynamics which allows to take account of relaxed assumptions such as differential borrowing and lending interest rates or short positions with cash collateral and negative rebate rates. We give suffcient conditions for existence of optimal policies for agents with logarithmic and CRRA power utility. We find closed-form solutions for the optimal value function in the case of pure-jump models with jump-size distributions modulated by a two-state Markov chain.
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中文摘要：
我们探索鞅和凸对偶技术来研究从消费和终端财富中最大化预期风险规避效用的最优投资策略。我们考虑一个由（多元）标记点过程和所谓的非线性财富动态驱动的跳跃市场模型，该模型允许考虑宽松的假设，例如不同的借贷利率或现金抵押品和负回扣率的空头头寸。对于具有对数和CRRA幂效用的代理，我们给出了存在最优策略的充分条件。在纯跳跃模型中，我们找到了最优值函数的闭式解，其中跳跃大小分布由两状态马尔可夫链调制。
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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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