摘要翻译:
研究了在非破产约束下,最终财富最大化期望效用的随机控制问题。财富过程受到一般标记点过程产生的冲击。代理人的问题是导出允许“降低”冲击水平的最优保险策略。该优化问题与一个适当的对偶随机控制问题有关,其中微妙的边界约束消失。我们将对偶值函数刻画为相应的a Hamilton,Jacobi,Bellman变分不等式(简称HJBVI)的唯一粘性解。
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英文标题:
《Optimal insurance demand under marked point processes shocks: a dynamic
programming duality approach》
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作者:
Mohamed Mnif
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最新提交年份:
2010
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分类信息:
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: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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英文摘要:
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is to derive the optimal insurance strategy which allows "lowering" the level of the shocks. This optimization problem is related to a suitable dual stochastic control problem in which the delicate boundary constraints disappear. We characterize the dual value function as the unique viscosity solution of the corresponding a Hamilton Jacobi Bellman Variational Inequality (HJBVI in short).
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PDF链接:
https://arxiv.org/pdf/1008.5058