Optimal Investment Model under Stochastic Factor with Logarithmic Utility

被引：0
|
作者：
Luo, ChengXin [1 ]
Xi, Yue [1 ]
机构：
[1] Shenyang Normal Univ, Sch Math & Syst Sci, Shenyang, Peoples R China
来源：
PROCEEDINGS OF 2009 INTERNATIONAL WORKSHOP ON INFORMATION SECURITY AND APPLICATION | 2009年
关键词：
Hamilton-Jacobi-Bellman equation; utility maximization; stochastic factor; logarithmic utility; CONSUMPTION;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper concerns with portfolio problem with logarithmic utility which is maximizing the expected utility of the terminal wealth. The stock price is modeled as a stochastic differential equation whose coefficients evolve according to a correlated diffusion factor. Using dynamic programming approach, explicit representations of the value function and corresponding optimal strategies are derived.
引用
收藏
页码：516 / 518
页数：3
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