摘要翻译:
本文研究了半线性金融市场中幂效用随机场的效用最大化问题,其中有中间消费和无中间消费。引入机会过程的概念,作为由此产生的随机控制问题的值过程的约化形式。我们展示了机会过程如何描述关键对象:最优策略、价值函数和对偶问题。应用这些结果得到了最优消耗量的单调性。
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英文标题:
《The Opportunity Process for Optimal Consumption and Investment with
Power Utility》
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作者:
Marcel Nutz
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最新提交年份:
2010
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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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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:
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value process of the resulting stochastic control problem. We show how the opportunity process describes the key objects: optimal strategy, value function, and dual problem. The results are applied to obtain monotonicity properties of the optimal consumption.
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PDF链接:
https://arxiv.org/pdf/0912.1879