南方科技大学知识苑(SUSTech KC): OPTIMAL INVESTMENT PROBLEM WITH DELAY UNDER PARTIAL INFORMATION

题名	OPTIMAL INVESTMENT PROBLEM WITH DELAY UNDER PARTIAL INFORMATION
作者	Zhang, Shuaiqi 1; Xiong, Jie2 ; Zhang, Xin 3
通讯作者	Zhang, Shuaiqi
发表日期	2020-06
DOI	10.3934/mcrf.2020001
发表期刊	Mathematical Control and Related Fields 影响因子和分区
ISSN	2156-8472
EISSN	2156-8499
卷号	10 期号:2页码:365-378
摘要	In this paper, we investigate the optimal investment problem in the presence of delay under partial information. We assume that the financial market consists of one risk free asset (bond) and one risky asset (stock) and only the price of the risky asset can be observed from the financial market. The objective of the investor is to maximize the expected utility of the terminal wealth and average of the path segment. By using the filtering theory, we establish the separation principle and reduce the problem to the complete information case. Explicit expressions for the value function and the corresponding optimal strategy are obtained by solving the corresponding Hamilton-Jacobi-Bellman equation. Furthermore, we study the sensitivity of the optimal investment strategy on the model parameters in a numerical section and both of the full and partial information schemes are simulated and compared.
关键词	Partial information investment delay
相关链接	[来源记录]
收录类别	SCI ; SSCI
语种	英语
学校署名	其他
资助项目	National Natural Science Foundation of China[11771079]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000528259400006
出版者	AMER INST MATHEMATICAL SCIENCES-AIMS
来源库	Web of Science
引用统计	被引频次[WOS]：8
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/127219
专题	理学院_数学系工学院_材料科学与工程系
作者单位	1.China Univ Min & Technol, Sch Math, Xuzhou 221116, Jiangsu, Peoples R China 2.Southern Univ Sci & Technol, Dept Math, Shenzhen, Peoples R China 3.Southeast Univ, Sch Math, Nanjing, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Shuaiqi,Xiong, Jie,Zhang, Xin. OPTIMAL INVESTMENT PROBLEM WITH DELAY UNDER PARTIAL INFORMATION[J]. Mathematical Control and Related Fields,2020,10(2):365-378.
APA	Zhang, Shuaiqi,Xiong, Jie,&Zhang, Xin.(2020).OPTIMAL INVESTMENT PROBLEM WITH DELAY UNDER PARTIAL INFORMATION.Mathematical Control and Related Fields,10(2),365-378.
MLA	Zhang, Shuaiqi,et al."OPTIMAL INVESTMENT PROBLEM WITH DELAY UNDER PARTIAL INFORMATION".Mathematical Control and Related Fields 10.2(2020):365-378.