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首页> 外文期刊>Open Access Library Journal >The Effects of Transaction Cost and Correlation of Brownian Motions on an Insurer’s Optimal Investment Strategy through Logarithmic Utility Optimization under Modified Constant Elasticity of Variance (M-CEV) Model
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The Effects of Transaction Cost and Correlation of Brownian Motions on an Insurer’s Optimal Investment Strategy through Logarithmic Utility Optimization under Modified Constant Elasticity of Variance (M-CEV) Model

机译：棕色动作与修改恒定弹性下常量弹性（M-CEV）模型的对数型实用优化对保险公司最优投资策略的影响

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摘要

In this work, we tackled an optimal investment strategy problem of an insurance investor, who had logarithmic utility preference and invested in two assets: 1) a riskless bond with a constant rate of return and 2) a risky asset (stock) whose price dynamics followed modified constant elasticity of variance (M-CEV) model. We focused on getting an optimal investment strategy that will maximize his returns and pays policy holders their claims whenever they occur. We derived formulae that allowed us to analyze the impact of the models parameters of the coefficient of correlation of the Brownian motions and transaction cost. It was found, among others, that if the Brownian motions increase or decrease together, the investor will need less funds to be in business than when the Brownian motions do not increase or decrease together.
机译：在这项工作中，我们解决了一个最佳的投资策略问题，保险投资者，他们进行了对数效用偏好，并投入了两项资产：1）具有持续返回率的无风险债券和2）一个风险资产（库存）其价格动态遵循差异的修正恒定弹性（M-CEV）模型。我们专注于获得最佳的投资策略，以最大限度地提高他的回报，并在发生时支付政策持有人的索赔。我们派生公式，使我们能够分析棕色动作和交易成本的相关系数的模型参数的影响。其中，如果布朗运动在一起增加或减少，投资者将需要更少的资金，而不是在棕色运动不会增加或减少。

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