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| 摘要: |
| 考虑Markov调制的模式转换市场模型,研究了影响金融市场的宏观因素,其中随机利率风险服从Vasicek模型,违约风险服从,CIR模型；研究了市场下的最优投资组合问题，应用动态规划原理、HJB方程理论及偏微分方程理论,得到HJB方程的闭形式的解,并证明了HJB方程的解是最优投资组合的值函数,得到了最优投资策略的显式表示。 |
| 关键词: 模式转换 随机利率 违约风险 HJB方程 CRRA型效用函数 |
| DOI： |
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| Optimal Portfolio Selection with Regime-switching Considering Stochastic Interest Rate and Default Risk |
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LIANG Yue,WANG Zi-ting,WANG Xiao-jie
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| Abstract: |
| This paper studies Markov modulated regime-swithcing market model which concerns about macrofactor influencing financial market in which stochastic interest rates follow Vasicek Model and default risk abides by CIR Model.The optimal portfolio under the described market is studied,the closed-form solution... |
| Key words: regime-switching,stochastic interest rate default risk HJB equation CRRA utility function |
