随机参考点下带有最小收益约束的投资组合

摘要

在完全市场下,考虑基于随机参考点的带有下限约束的证券组合投资问题.利用等量代换,将随机参考点等价转化为另一损失厌恶水平下的固定参考点,进而应用鞅方法求解固定参考点下的模型,给出损失厌恶投资者的最优财富过程和最优投资策略的解析表达式.%This paper analyzes the optimal investment strategy with minimum performance constraints based on dynamic reference point in a complete market.The random reference point is equivalent to another loss averse level under the fixed reference point by using equivalent transformation.Then,by applying the martingale method,we derive the analytical expression of optimal risky asset weight,based on which we obtain the expected optimal terminal wealth of loss aversion investors whose reference point is dynamically adjusted.