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Issue:
Optimal Investment with Transaction Costs under a Hyperbolic Lévy Model Abstract
Author(s):
DENG Weijun
Pages:
149
-
159
Year:
2003
Issue:
2
Journal:
JOURNAL OF FUDAN UNIVERSITY(NATURAL SCIENCE)
Keyword:
最优投资
;
交易费
;
双曲Lévy模型
;
HJB方程
;
粘性解
;
Abstract:
在双曲Lévy模型下考虑对股票的交易有交易费要求的最优投资问题. 假定投资者按既定的投资方式进行投资(他有一银行账户),可以无限制地存借款以买卖股票. 其投资目的是使自己的期望效用最大化.
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