CAJ | 학술논문

考虑Markov调制的模式转换市场模型，研究了影响金融市场的宏观因素，其中随机利率风险服从Vasicek模型，违约风险服从CIR模型；研究了市场下的最优投资组合问题，应用动态规划原理、HJB方程理论及偏微分方程理论，得到HJB方程的闭形式的解，并证明了HJB方程的解是最优投资组合的值函数，得到了最优投资策略的显式表示。
고필Markov조제적모식전환시장모형，연구료영향금융시장적굉관인소，기중수궤리솔풍험복종Vasicek모형，위약풍험복종CIR모형；연구료시장하적최우투자조합문제，응용동태규화원리、HJB방정이론급편미분방정이론，득도HJB방정적폐형식적해，병증명료HJB방정적해시최우투자조합적치함수，득도료최우투자책략적현식표시。
This paper studies Markov modulated regime-switching market model which concerns about macro- factor influencing financial market in which stochastic interest rates follow Vasicek Model and default risk abides by CIR Model. The optimal portfolio under the described market is studied,the closed-form solution to HJB equation is obtained by using dynamic program principle and partial differential equation theory ,meanwhile ,it is proved that the solution to HJB equation is value function of optimal portfolio, and explicit expression of optimal investment strategy is got.