论文标题
基于HJM模型的投资者问题
The investor problem based on the HJM model
论文作者
论文摘要
我们考虑了投资者的投资问题（无论是在有限和无限时间范围内），其中投资者可以进入债券市场。一般的HJM因子模型描述了具有不同成熟度的债券的方法价格。我们假设债券市场由整个滚动债券家庭组成，投资策略是一项一般签署的措施，该措施分布在所有实数，代表不同滚动债券的成熟度规格的时间。特别是，我们可以考虑优惠券债券的投资组合。投资者的目标是最大程度地提高消费过程的时间添加效用。我们通过HJB方程来解决问题，我们证明其要求其解决方案的规律性和所有必需的估计，以确保验证定理的适用性。提出了仿射模型的明确计算。
We consider a consumption-investment problem (both on finite and infinite time horizon) in which the investor has an access to the bond market. In our approach prices of bonds with different maturities are described by the general HJM factor model. We assume that the bond market consists of entire family of rolling bonds and the investment strategy is a general signed measure distributed on all real numbers representing time to maturity specifications for different rolling bonds. In particular, we can consider portfolio of coupon bonds. The investor's objective is to maximize time-additive utility of the consumption process. We solve the problem by means of the HJB equation for which we prove required regularity of its solution and all required estimates to ensure applicability of the verification theorem. Explicit calculations for affine models are presented.
