部分信息下资产收益率发生紊乱的最优投资策略

摘要

本文研究了在部分信息且市场利率非零的情形下,资产预期收益率发生紊乱(disorder)时,终端净财富的期望指数效用最大化问题.利用半鞅和倒向随机微分方程(BSDE)刻画价值过程的方法,获得了最优交易策略和价值过程的明确表达式,推广了一般框架下最优投资组合的研究结果.%This paper studies the problem of maximizing the expected exponential utility of terminal net wealth, when the asset return is disordered and the financial market has non-zero interest rate under partial information. By using semimartingale and backward stochastic differential equation (BSDE), we obtain the explicit expressions of optimal trading strategy as well as the value process, which extend the results of optimal portfolio in the general framework.