風險資產的投資問題研究

A Study of Investment Problem for Firm with Risk Process

胡太維(Tai-Wei Hu)

指導教授 ： 許順吉

國立臺灣大學/理學院/數學研究所/碩士(2017年)

https://doi.org/10.6342/NTU201701946

摘要

本論文在討論一個投資模型，此模型中有兩個風險，分別是股票市場風險及系統性風險，在不完全市場(incomplete market)中，我們無法藉由股票的操作將系統性風險消除。我們將探討在此模型下的各種最佳化問題，並找出對應的最佳策略，問題包括極小化破產機率、極小化折扣罰款的期望值、極大化資產在中止時間作用在效用函數上的期望值。
我們主要藉由解HJB方程的方法來找出最佳策略， 另外我們還會引進一些方法當HJB 方程不好解的時候。

關鍵字

機率論 ； HJB方程 ； 隨機過程

並列摘要

In this paper, we study the investment models that have two risk processes. One is the risk process from the stock market and another is an external risk process. Also, we are only interested in the incomplete market model, that is, we cannot eliminate the external risk process by investing in the stock market. We will consider several optimization problems, including minimizing the ruin probability, minimizing the expected discounted penalty and maximizing the expected utility at terminal time.
Our main approach is to solve the HJB equation to find an optimal strategy and the value function. In addition, we will use other approaches to find an optimal strategy when the HJB equation is hard to solve.

並列關鍵字

Probability theory ； HJB equation ； random process

參考文獻

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