题目：Optimal Investment and Consumption in a Continuous-Time Cointegration Model with Exponential Utility
报告人：马贵元 博士 (Univ.of Wollongong)
摘要：In this talk, we discuss an optimal investment and consumption problem with exponential utility function in a financial market where the asset prices follows a cointegrated model. After applying the dynamic programming method, we derive a Hamilton-Jacobi-Bellman (HJB) equation, then we obtain an optimal investment and consumption strategies and the corresponding value function in a closed form. A verification theorem is proved to demonstrate that under certain growth conditions the solution of the HJB equation is indeed the one of our original problem. We also discuss on how cointegration parameters can affect the optimal investment. Consumption strategies are suggested according to our analytical results.
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