| 一个风险敏感最优控制问题的随机最大值原理及在投资选择中的应用 |
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| 引用本文： | 王光臣,吴臻. 一个风险敏感最优控制问题的随机最大值原理及在投资选择中的应用[J]. 自动化学报, 2007, 33(10) |
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| 作者姓名： | 王光臣 吴臻 |
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| 作者单位： | School of Mathematics and System Sciences Shandong University Jinan 250100，P.R.China School of Mathematical Sciences，Shandong Normal University，Jinan 250014，P.R.China，School of Mathematics and System Sciences Shandong University，Jinan 250100，P.R.China |
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| 基金项目： | 国家自然科学基金;国家重点基础研究发展计划(973计划);山东省自然科学基金 |
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| 摘 要： | In this paper,we mainly study a kind of risk-sensitive optimal control problem motivated by a kind of portfolio choice problem in certain financial market.Using the classical convex variational technique,we obtain the maximum principle for this kind of problem.The form of the maximum principle is similar to its risk-neutral counterpart.But the adjoint equation and the variational inequality heavily depend on the risk-sensitive parameterγ.This is one of the main difference from the risk-neutral case.We use this result to solve a kind of optimal portfolio choice problem.The optimal portfolio strategy obtained by the Bellman dynamic programming principle is a special case of our result when the investor only invests the home bond and the stock.Computational results and figures explicitly illustrate the relationships between the maximum expected utility and the parameters of the model.
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Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice |
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| WANG Guang-Chen,WU Zhen. Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice[J]. Acta Automatica Sinica, 2007, 33(10) |
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| Authors: | WANG Guang-Chen WU Zhen |
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| Abstract: | |
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| Keywords: | Stochastic maximum principle risk-sensitive control convex variational technique portfolio choice |
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