Heston随机波动率模型下的动态投资组合

常浩

Heston随机波动率模型下的动态投资组合

引用本文：常浩.Heston随机波动率模型下的动态投资组合[J].经济数学,2013,(2):48-54

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作者	单位
常浩	(天津工业大学数学系,天津300387)

中文摘要:应用随机最优控制方法对Heston随机波动率模型下的动态投资组合问题进行了研究，得到了幂效用和指数效用下最优投资策略的显示解，并给出一些数值计算结果分析了市场参数对最优投资策略的影响

中文关键词:随机波动率动态投资组合动态规划幂效用指数效用最优投资策略

Dynamic Portfolio Selection with Heston’s Stochastic Volatility

Abstract:This paper used stochastic optimal control theory to investigate a dynamic portfolio selection problem with Heston’s stochastic volatility, and obtained the closed-form solutions to the optimal investment strategies in the power and exponential utility cases. In addition, some numerical results were provided to illustrate the effect of market parameters on the optimal policies.

keywords:stochastic volatility dynamic portfolio selection dynamic programming power utility exponential utility optimal investment strategy

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