The Optimal Security Investment Tactics with Risk Aversion
带有风险规避的证券投资最优策略

By using the theory of stochastic optimal control, a model for the problem of optimal tactics of securities investment with the risk aversion is set up. Then, definitions of the value function and the coefficient of risk aversion are given, and the nonlinear transformation of value function is conducted, which is proved to satisfy HJB partial differential equation with the coefficient of risk aversion. Particularly, the security investment tactics is proposed if the coefficient of risk aversion is infinite. Finally, an example is provided.