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

页码：516 / 518

页数：3

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