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摘要翻译：
本文继续Bian-Miau-Zheng(2011)的研究，并将其推广到一类更一般的效用函数，这类效用函数可能是有界的和非严格凹的，证明了HJB方程的对偶控制方法存在经典解。然后，我们将所得结果应用于研究财富的有效边界和条件VaR(CVaR)问题以及收费公路财产问题。对于前者，我们显式地构造了最优控制，讨论了最优线程水平的选择，并说明了财富与CVaR正相关。对于后者，我们给出了长期投资者最优策略的收费公路性质的简单证明，并推广了Huang-Zariphopoulou(1999)的结果。
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英文标题：
《Smooth Value Function with Applications in Wealth-CVaR Efficient
Portfolio and Turnpike Property》
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作者：
Baojun Bian, Harry Zheng
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最新提交年份：
2012
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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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英文摘要：
In this paper we continue the study of Bian-Miao-Zheng (2011) and extend the results there to a more general class of utility functions which may be bounded and non-strictly-concave and show that there is a classical solution to the HJB equation with the dual control method. We then apply the results to study the efficient frontier of wealth and conditional VaR (CVaR) problem and the turnpike property problem. For the former we construct explicitly the optimal control and discuss the choice of the optimal threadshold level and illustrate that the wealth and the CVaR are positively correlated. For the latter we give a simple proof to the turnpike property of the optimal policy of long-run investors and generalize the results of Huang-Zariphopoulou (1999).
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PDF链接：
https://arxiv.org/pdf/1212.3137
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