福州大学学报（自然科学版）2018，Vol.46Issue(1)：32-37,6.DOI:10.7631/issn.1000-2243.16395
随机参考点下带有最小收益约束的投资组合
Optimal investment with minimum performance constraints under dynamic reference point
摘要
Abstract
This paper analyzes the optimal investment strategy with minimum performance constraints based on dynamic reference point in a complete market.The random reference point is equivalent to another loss averse level under the fixed reference point by using equivalent transformation.Then,by applying the martingale method,we derive the analytical expression of optimal risky asset weight,based on which we obtain the expected optimal terminal wealth of loss aversion investors whose reference point is dynamically adjusted.关键词
随机参考点/下限约束/等量代换/鞅方法/损失厌恶Key words
dynamic reference point/minimum revenue constraint/equivalent substitution/martingale method/loss aversion分类
管理科学引用本文复制引用
胡双霞,王晶海..随机参考点下带有最小收益约束的投资组合[J].福州大学学报（自然科学版）,2018,46(1):32-37,6.基金项目
福建省自然科学基金资助项目(2014J01008) （2014J01008）
