论文标题
连续时间均值 - 实用性投资组合问题及其均衡策略
Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
论文作者
论文摘要
在本文中，我们提出了一类新的优化问题，这些问题最大化了终端财富和累积的消费实用程序，但要遵守控制投资组合最终风险的平均方差标准。通过引入定义为均值变化标准和预期累积效用的终端财富的总体“幸福”的概念，首先将多目标优化问题转化为单一目标的问题，然后在游戏理论框架下解决。我们设法维持了分析性障碍。为一组特殊实用程序功能找到的封闭式解决方案使我们能够讨论一些有趣的最佳投资策略，这些策略曾经在文献中尚未揭示。
In this paper, we propose a new class of optimization problems, which maximize the terminal wealth and accumulated consumption utility subject to a mean variance criterion controlling the final risk of the portfolio. The multiple-objective optimization problem is firstly transformed into a single-objective one by introducing the concept of overall "happiness" of an investor defined as the aggregation of the terminal wealth under the mean-variance criterion and the expected accumulated utility, and then solved under a game theoretic framework. We have managed to maintain analytical tractability; the closed-form solutions found for a set of special utility functions enable us to discuss some interesting optimal investment strategies that have not been revealed before in literature.
