Optimal Investment Model under Stochastic Factor with Logarithmic Utility

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.

关键词： Hamilton-Jacobi-Bellman equation utility maximization stochastic factor logarithmic utility

作者: ChengXin Luo Yue Xi

作者单位: School of Mathematics and Systems Science, Shenyang Normal University, Shenyang, China

会议类型: 国际会议

会议名称: 2009 International Workshop on Information Security and Application(2009 信息安全与应用国际研讨会)

会议地点: 青岛

会议语种:英文

页码: 516-518

在线出版日期: 2009-11-21（万方平台首次上网日期，不代表论文的发表时间）