An investment model with mean-field target

Pao Yue-kong Library Electronic Theses Database

An investment model with mean-field target

 

Author: Hou, Danlin
Title: An investment model with mean-field target
Degree: M.Phil.
Year: 2014
Subject: Investments -- Mathematical models.
Investment analysis.
Hong Kong Polytechnic University -- Dissertations
Department: Dept. of Applied Mathematics
Pages: ix, 44 leaves ; 30 cm
Language: English
InnoPac Record: http://library.polyu.edu.hk/record=b2762684
URI: http://theses.lib.polyu.edu.hk/handle/200/7713
Abstract: This thesis is concerned with a new compensation model with a performance-based benchmark. In earlier papers about optimal compensation problem, there are relatively few papers engaged in studying optimal investment policy with a given compensation form. Furthermore, the benchmarks in these papers are always assumed to be fixed or have nothing to do with the industry's performance. While the benchmark in this thesis contains an expected form, which represents the industry's performance. Traditional methods will fail in this kind of problem. So we plan to make optimization two times to deal with this changing-target compensation model. Besides, some numerical examples will be given in this thesis to illustrate the solvability of the problem.

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