Optimal Consumption and Investment Problem under 4/2-CIR Stochastic Hybrid Model

doi:10.3390/math11173695

	Optimal Consumption and Investment Problem under 4/2-CIR Stochastic Hybrid Model
	Ma, Aiqin; Zhang, Cuiyun; Wang, Yubing
	2023-09
发表期刊	MATHEMATICS
卷号	11 期号:17
摘要	In this paper, we investigate the optimal consumption and investment problem under the expected utility maximization criterion. It is supposed that the financial market consists of a risky asset and a risk-free asset, and the risky asset prices follow the 4/2 Cox-Ingersoll-Ross (CIR) stochastic hybrid model. The investment objective is to obtain an optimal consumption-investment strategy by maximizing the objective function. The closed-form expression of the optimal consumption-investment strategy is obtained by using optimal control theory and the corresponding Hamilton-Jacobi-Bellman (HJB) equation under the power utility function. In addition, we present a numerical example to illustrate the influence of model parameters on the optimal consumption-investment strategy.
关键词	4/2 stochastic volatility CIR interest rate optimal strategy CRRA utility HJB equation
DOI	10.3390/math11173695
收录类别	SCIE
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics
WOS记录号	WOS:001061266100001
出版者	MDPI
原始文献类型	Article
EISSN	2227-7390
引用统计	被引频次[WOS]：0 [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/35287
专题	统计与数据科学学院
通讯作者	Ma, Aiqin
作者单位	Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730020, Peoples R China
第一作者单位	兰州财经大学
通讯作者单位	兰州财经大学
推荐引用方式 GB/T 7714	Ma, Aiqin,Zhang, Cuiyun,Wang, Yubing. Optimal Consumption and Investment Problem under 4/2-CIR Stochastic Hybrid Model[J]. MATHEMATICS,2023,11(17).
APA	Ma, Aiqin,Zhang, Cuiyun,&Wang, Yubing.(2023).Optimal Consumption and Investment Problem under 4/2-CIR Stochastic Hybrid Model.MATHEMATICS,11(17).
MLA	Ma, Aiqin,et al."Optimal Consumption and Investment Problem under 4/2-CIR Stochastic Hybrid Model".MATHEMATICS 11.17(2023).