论文标题
在部分信息和强大的var-type约束下的最佳投资
Optimal investment under partial information and robust VaR-type constraint
论文作者
论文摘要
本文通过结合部分信息和（鲁棒）监管约束来扩展效用最大化文献。部分信息的特点是，股票价格本身可以通过优化金融机构观察到，但风险$θ$的市场价格的结果是该机构未知的。与金融机构相比，监管机构在施加价值风险（VAR）约束时，对风险市场价格的一致或独特的看法。我们还讨论了一个可靠的变量约束，其中调节器使用最坏情况。解决我们优化问题的解决方案采用与完整信息案例相同的形式：最佳财富可以表示为州价格密度的降低功能。最佳财富等于中级经济国家的最低监管融资要求。关键区别在于，最终状态的价格密度取决于估计的风险市场价格的总体演变，称为$ \hatθ（s）$，或中间区域的上边界表现出随机行为。
This paper extends the utility maximization literature by combining partial information and (robust) regulatory constraints. Partial information is characterized by the fact that the stock price itself is observable by the optimizing financial institution, but the outcome of the market price of the risk $θ$ is unknown to the institution. The regulator develops either a congruent or distinct perception of the market price of risk in comparison to the financial institution when imposing the Value-at-Risk (VaR) constraint. We also discuss a robust VaR constraint in which the regulator uses a worst-case measure. The solution to our optimization problem takes the same form as in the full information case: optimal wealth can be expressed as a decreasing function of state price density. The optimal wealth is equal to the minimum regulatory financing requirement in the intermediate economic states. The key distinction lies in the fact that the price density in the final state depends on the overall evolution of the estimated market price of risk, denoted as $\hatθ(s)$ or that the upper boundary of the intermediate region exhibits stochastic behavior.
