引用本文:樊顺厚1,马 娟1 ,常 浩1,2.Heston随机波动率模型下的资产负债管理问题[J].经济数学,2016,(3):11-19
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樊顺厚1,马 娟1 ,常 浩1,2 (1.天津工业大学理学院天津 3003872.天津大学管理与经济学部天津 300072) 
中文关键词:金融学  最优投资策略  动态规划原理  资产-负债管理
Asset-Liability Management Problem under the Heston’s Stochastic Volatility Model
Abstract:The stochastic optimal control theory was used to study a dynamic portfolio selection problem with liability process under the Heston's stochastic volatility model. Stock price was assumed to be governed by the Hestonmodel, and the liability process was supposed to be driven by the drifted Brownian motion. The financial market consists of one risk-free asset and one risky asset. The explicit solutions to the optimal investment strategies under power utility and exponential utility were obtained by using stochastic dynamic programming principle and variable separation method. Finally, a numerical example was given to illustrate the effect of market parameters on the optimal investment strategy.
keywords:finance  optimal investment strategy  dynamic programming principle  asset-liability management
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