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| 摘要: |
| 本文研究了投资者在Knight不确定及机制转换环境下带通胀的最优投资决策问题. 利用Itô公式、α-最大最小预期效用偏好模型、随机分析等方法, 得出了机制转换环境下利润流的动力学方程, Knight 不确定及机制转换条件下考虑通胀因素的投资预期价值公式, 利润流临界现值及不同参数对投资的影响. |
| 关键词: Knight不确定 机制转换 通胀 α-最大最小预期效用 |
| DOI： |
| 分类号:O211.6 |
| 基金项目:国家自然科学基金资助项目(71171003;71271003);安徽省自然科学基金资助项目(090416225);安徽省高校自然科学基金资助项目(KJ2010A037);安徽省教育厅人文社会科学基金资助项目(SK2013B057) |
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| ON STUDY OF OPTIMAL INVESTMENT WITH INFLATION UNDER KNIGHT UNCERTAINTY AND REGIME-SWITCHING |
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LIANG Yong,FEI Wei-yin,TANG Shi-bing,LI Shuai
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| Abstract: |
| This paper studies the problem of optimal investment with inflation under Knight uncertainty and regime-switching. By using the Itô formula, α-maxmin expected utility model, stochastic calculus, we obtain the dynamics of profit flow with inflation under regime-switching and Knight uncertainty, the profit flow calculation formulae with inflation, the critical present values of the profit flow and the explanations of the effect of the parameters on an investor's decisions. |
| Key words: Knight uncertainty regime-switching inflation α-maxmin expected utility |
