| Regime—switching下带VaR限制的最优投资消费策略 |
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| 引用本文： | 耿国强,刘宣会.Regime—switching下带VaR限制的最优投资消费策略[J].纺织高校基础科学学报,2012(4):485-488,493. |
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| 作者姓名： | 耿国强 刘宣会 |
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| 作者单位： | 西安工程大学理学院 |
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| 基金项目： | 陕西省教育厅自然科学研究项目(11JK0499) |
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| 摘 要： | 投资者投资一种风险资产和一种无风险资产，风险资产价格满足带有马尔科夫调制的几何布朗运动．考虑加入VaR限制来表达投资人对风险的要求，并给出加入限制后的HJB方程．最后利用拉格朗日极值法得到模型的一阶最优条件并结合HJB方程得最优投资和消费策略．
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| 关 键 词： | HJB方程 VaR限制 最优投资消费 |
Optimal investment and consumption strategies with Regime-switching and VaR constraint |
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| GENG Guo-qiang,LIU Xuan-hui.Optimal investment and consumption strategies with Regime-switching and VaR constraint[J].Basic Sciences Journal of Textile Universities,2012(4):485-488,493. |
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| Authors: | GENG Guo-qiang LIU Xuan-hui |
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| Affiliation: | (School of Science,Xi′an Polytechnic University,Xi′an 710048,China) |
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| Abstract: | It is considered that the investors invest in a risky assets and a risk-free assets,the prices of the risky assets meet the Markov modulated geometric Brownian motion. Joining the VaR constraint to ex- press the risk requirements of the investors,and the HJB equation with constraint was given. Finally,the first order optimal conditions model was obtained by Lagrange extreme value method,the optimal ivest- ment and consumption strategies were gained by combining the HJB equation. |
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| Keywords: | HJB equation the VaR limit optimal investment and consumption |
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