CAJ | 학술논문

研究了风险资产价格具有Knight不确定下对冲基金管理者的最优投资决策问题。对冲基金管理者以获得的终端费用(包括管理费和业绩费)预期效用的最大化为目标，此时风险资产受 G-布朗运动干扰。然后通过非线性期望下随机分析和随机动态规划方法，推导出带有特定边界条件值函数的 G-HJB方程，得出相应的基金管理者最优投资组合策略。
연구료풍험자산개격구유Knight불학정하대충기금관리자적최우투자결책문제。대충기금관리자이획득적종단비용(포괄관리비화업적비)예기효용적최대화위목표，차시풍험자산수 G-포랑운동간우。연후통과비선성기망하수궤분석화수궤동태규화방법，추도출대유특정변계조건치함수적 G-HJB방정，득출상응적기금관리자최우투자조합책략。
This paper studies the strategy of the fund manager's portfolio as the volatility of the asset price has Knightian uncertainty.The hedge fund managers maximize the expected utility of the terminal fees including management fees.Performance fees and a risky asset are disturbed by a G-Brownian motion. Then the corresponding G-HJB (G-Hamilton-Jacobi-Bellman)equation of the value function with specif-ic boundary conditions is deduced through the stochastic calculus and the stochastic dynamic program-ming method under nonlinear expectations,and the corresponding optimal portfolio strategy of the fund manager is obtained.