论文标题
高斯漂移的市场中部分信息下的效用最大化问题的优势
Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift
论文作者
论文摘要
本文调查了股票收益率取决于隐藏的高斯平均恢复漂移过程的金融市场的效用最大化问题的良好姿势。由于该过程可能是无限的，因此无法保证良好的姿势，而不是从上面限制的效用函数。对于具有相对风险避免的功率实用程序，小于对数持久性的电力实用程序，这会导致对模型参数的选择限制，例如投资范围和控制资产价格和漂移过程方差的参数。我们为模型参数提供了足够的条件，从而为具有完整和部分信息的模型提供了终端财富的最大预期效用。
This paper investigates well posedness of utility maximization problems for financial markets where stock returns depend on a hidden Gaussian mean reverting drift process. Since that process is potentially unbounded, well posedness cannot be guaranteed for utility functions which are not bounded from above. For power utility with relative risk aversion smaller than that of log-utility this leads to restrictions on the choice of model parameters such as the investment horizon and parameters controlling the variance of the asset price and drift processes. We derive sufficient conditions to the model parameters leading to bounded maximum expected utility of terminal wealth for models with full and partial information.
