英文标题：
《Optimal investment and consumption for Ornstein-Uhlenbeck spread
financial markets with logarithmic utility》
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作者：
Sahar Albosaily and Serguei Pergamenshchikov
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最新提交年份：
2018
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英文摘要：
We consider a spread financial market defined by the multidimensional Ornstein--Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions in the base of stochastic dynamical programming method. We show a special Verification Theorem for this case. We find the solution to the Hamilton--Jacobi--Bellman (HJB) equation in explicit form and as a consequence we construct the optimal financial strategies. Moreover, we study the constructed strategy by numerical simulations.
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中文摘要：
我们考虑由多维Ornstein-Uhlenbeck（OU）过程定义的利差金融市常在随机动态规划方法的基础上，研究了对数效用函数的最优消费/投资问题。对于这种情况，我们给出了一个特殊的验证定理。我们以显式形式找到了Hamilton—Jacobi—Bellman（HJB）方程的解，从而构建了最优财务策略。此外，我们还通过数值模拟研究了所构造的策略。
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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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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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