| Heston模型下基于期权投资的鲁棒最优控制 |
| Robust optimal control for derivative-based investment under the Heston model |
| 摘要点击 1446 全文点击 0 投稿时间：2018-05-28 修订日期：2019-01-20 |
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| 中文关键词 Heston模型；模糊风险厌恶；期权；鲁棒最优投资策略 |
| 英文关键词 Heston model；ambiguity aversion；derivative；robust optimal investment strategy |
| 基金项目 国家自然科学基金项目（面上项目，重点项目，重大项目） |
| 作者 | 单位 | 邮编 | | 杨璐 | 广东工业大学 | 510520 | | 朱怀念 | 广东工业大学 | 510520 | | 张成科 | 广东工业大学 | |
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| 中文摘要 |
| 针对Heston随机波动率模型下的鲁棒最优投资问题, 构建了带期权投资的资产负债管理模型. 投资者的目标是最大化终端时刻净财富的幂效用, 利用随机最优控制方法, 分别获得了带期权投资以及无期权投资两种情形下鲁棒最优投资策略、最坏概率测度及值函数的解析表达式, 通过数值模拟发现考虑模型的鲁棒性以及进行期权投资能够改进投资者的效用. |
| 英文摘要 |
| With regard to the robust optimal investment problem for an ambiguity-averse investor (AAI) with stochastic volatility, an asset-liability management model with derivative-based is constructed. The objective of investors is to maximize the power utility of net wealth at the end of time. The paper derives the explicit expressions for the robust optimal investment strategy, the worst-case scenario and the corresponding value function with and without derivative-based respectively by means of using stochastic optimal control method. The result of the numerical simulation shows that the established model and its algorithm are feasible and effective. It finds that considering the robustness of the model and derivative trading can improve the utility of the investor. |
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