随机利率环境下一类跳扩散相依风险资产的最优投资策略

doi:10.15960/j.cnki.issn.1007-6093.2020.03.008

Abstract

Abstract: In this paper, we consider the continuous time dynamic optimal asset allocation problem under the stochastic interest rate. We suppose that the market interest rate satisfies a stochastic process with the characteristic of mean-reverting, and the financial market consists of a zero-coupon bond and two dependent risky assets whose prices are suffered a common shock. Under the mean-variance criterion, using stochastic optimal control theory and Lagrange dual principle, the analytical solution for the efficient investment strategies and corresponding efficient frontier are obtained. Finally, through numerical examples, the sensitivity of efficient strategies and efficient frontier to relevant parameters are analyzed, and the relevant theoretical results are also verified.

Key words: stochastic interest rate, jump-diffusion dependence, mean-variance criteria, Hamilton-Jacobi-Bellman equation, efficient frontier

CLC Number:

F830.59
F224

SUN Jingyun, GUO Jingjun. Optimal investment strategies for a class of risky assets with jump-diffusion dependence under the stochastic interest rate[J]. Operations Research Transactions, 2020, 24(3): 101-114.

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Optimal investment strategies for a class of risky assets with jump-diffusion dependence under the stochastic interest rate

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