The optimal investment strategy of urban households based on the jump diffusion model

被引：0
|
作者：
Wang Aiyin [1 ]
Pan Dong [1 ]
机构：
[1] Xinjiang Univ Finance & Econ, Dept Math, Urumqi 830012, Peoples R China
来源：
2016 INTERNATIONAL CONFERENCE ON SMART CITY AND SYSTEMS ENGINEERING (ICSCSE) | 2016年
关键词：
Urban families; The mean - variance; Jump-diffusion model; Investment strategy;
D O I：
10.1109/ICSCSE.2016.173
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Considering the influence of the accident impact on urban families investment strategy, assuming both the risk asset and family income follow the jump diffusion model, we studied the optimal investment problem. When the terminal wealth expectations were given in advance, our goal is to minimize the variance of the terminal wealth and to obtain the corresponding Hamilton-Jacobi-Bellman (HJB) equation by using the method of stochastic optimal control. At last, we obtain the optimal investment strategies for the exponential utility function by guessing solution.
引用
收藏
页码：411 / 413
页数：3
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