论文标题
用规定的终端财富分配优化投资组合
Portfolio optimization with a prescribed terminal wealth distribution
论文作者
论文摘要
本文研究了一个投资组合分配问题，其目标是在最后一次开处方财富分配。我们使用最佳大规模运输工具研究了这个问题。我们提供双重配方，通过梯度下降算法解决。这涉及通过有限的差异方法求解相关的HJB和Fokker - Planck方程。给出了各种规定的终端分布的数值示例，表明我们可以成功达到可实现的目标。接下来，我们考虑在投资过程中添加消费，以考虑无法获得或次优的分布。
This paper studies a portfolio allocation problem, where the goal is to prescribe the wealth distribution at the final time. We study this problem with the tools of optimal mass transport. We provide a dual formulation which we solve by a gradient descent algorithm. This involves solving an associated HJB and Fokker--Planck equation by a finite difference method. Numerical examples for various prescribed terminal distributions are given, showing that we can successfully reach attainable targets. We next consider adding consumption during the investment process, to take into account distribution that either not attainable, or sub-optimal.
