摘要翻译:
研究了扩散型金融市场模型中终端财富效用的鲁棒最大化问题。基础模型由风险可交易资产和已知参数的不可交易资产组成,风险可交易资产的价格由具有错误趋势和波动系数的扩散过程描述。鲁棒效用函数定义为HARA效用函数。利用HJBI方程的解给出了问题解的显式刻划。
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英文标题:
《Robust utility maximization for diffusion market model with misspecified
coefficients》
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作者:
R. Tevzadze and T. Toronjadze
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最新提交年份:
2009
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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:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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英文摘要:
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by diffusion process with misspecified trend and volatility coefficients, and non-tradable asset with a known parameter. The robust utility functional is defined in terms of a HARA utility function. We give explicit characterization of the solution of the problem by means of a solution of the HJBI equation.
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PDF链接:
https://arxiv.org/pdf/0911.3043