Optimal investment strategies for general utilities under dynamic elasticity of variance models
研究了动态弹性方差模型下最大化终端财富期望效用的最优投资策略，提出一种双控制蒙特卡洛方法，适用于幂效用、非双曲绝对风险厌恶和对称渐近双曲绝对风险厌恶等多种效用函数。
This paper studies the optimal investment strategies under the dynamic elasticity of variance (DEV) model which maximize the expected utility of terminal wealth. The DEV model is an extension of the constant elasticity of variance model, in which the volatility term is a power function of stock prices with the power being a nonparametric time function. It is not possible to find the explicit solution to the utility maximization problem under the DEV model. In this paper, a dual-control Monte-Carlo method is developed to compute the optimal investment strategies for a variety of utility functions, including power, non-hyperbolic absolute risk aversion and symmetric asymptotic hyperbolic absolute risk aversion utilities. Numerical examples show that this dual-control Monte-Carlo method is quite efficient.