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中文摘要：
研究了使对冲基金管理者和投资者收益最大化的对冲基金最优投资模型,考虑了通胀因素对其投资收益的影响.首先,定义投资者和管理者的价值函数,刻画基金管理者的最优投资问题.其次,通过随机分析和动态规划的方法得出管理者在考虑通胀情形下最优投资杠杆.最后,对结果进行数值分析,并解释其经济意义.
英文摘要：
This paper studies a model of optimal investment strategy of hedge funds which maximizes both man- agers and investors＇ income.In the.＇ model,the influence of inflation was considered.After defining The value func- tion of manager and investor,the rondel characterizes tile manager＇s optimal investment problem.Then,the opti- mal investment leverage under inflation is deduced through the stochastic calculus and the stochastic dynamic programming method.Finally,the resuhs and its economic meaning are analysed.
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