中山大学学报（自然科学版）（中英文）2024，Vol.63Issue(4)：158-169,12.DOI:10.13471/j.cnki.acta.snus.2022A062
Heston模型下的两人鲁棒非零和随机微分投资组合博弈
Robust non-zero-sum stochastic differential portfolio games with two interacting agents under the Heston model
摘要
Abstract
The stochastic differential portfolio game between two competing investors with undertaking of the relative performance concerns is studied.Assume that the financial market is composed of a risk-free asset and a risky asset whose price process is described by the classical Heston model.Under the framework of Nash equilibrium theory,a non-zero-sum stochastic differential portfolio game model is constructed which maximizes the expected utility of the terminal relative performance.Utilizing the dynamic programming principle,explicit expressions of the value functions and Nash equilibrium for portfolio decisions are obtained under the representative case the CRRA utility.Finally,some numerical examples are performed to illustrate the influence of model parameters on the Nash equilibrium together with some economic interpretations.Results show that,the best response of each investor to the competition is to mimic the strategy of its opponent.Consequently,the portfolio decision of an investor with the relative performance concern is more risky than that without the relative performance concern,and thus increases the systemic risk in financial markets.Moreover,model uncertainty will cause an risk-averse investor to adopt more conservative investment strategies than an ambiguity-neutral investor,which is reflected in the reduction of the amount invested in the risky asset.关键词
投资组合博弈/纳什均衡/CRRA效用/相对业绩/模型不确定性Key words
portfolio game/Nash equilibrium/CRRA utility/relative performance/model uncertainty分类
管理科学引用本文复制引用
朱怀念,陈卓扬,宾宁..Heston模型下的两人鲁棒非零和随机微分投资组合博弈[J].中山大学学报（自然科学版）（中英文）,2024,63(4):158-169,12.基金项目
国家社会科学基金(21FJYB025) （21FJYB025）
广东省基础与应用基础研究基金(2023A1515012335) （2023A1515012335）
广东工业大学2024年度校级大学生创业训练计划项目(xj2024118451031) （xj2024118451031）
