A Study On HJB Equation Based On The Mean-reversion Of Commodity Price

China entered into international market more deeply and made more use of international resources.However,it implies both opportunities and challenges for Chinese financial industry.In order to improve the international competitiveness of Chinese financial institutions,the research on commodity investment is important.Many scholars have begun to explore the characteristics of commodity spot price,and found that commodity spot price has mean reversion effect.On the other hand,HJB equation is also developing gradually.It is widely used in portfolio of stock,and the allocation of risk asset and risk-free asset.In stock portfolio investment,stock price moves in the form of geometric Brownian motion.The commodity price moves in the form of mean reversion.Some scholars studied the numerical solution of HJB equation applied in German stock portfolio investment.The work of this paper is to study the numerical solution of HJB equation applied in commodity portfolio investment.The work of this paper is to study the HJB equation of commodity portfolio investment,to solve the optimal investment prolem and to get the f value function by solving the partial differential equation.This paper considers two cases,the first is the portfolio investment of commodities,which belongs to the portfolio investment of risk assets,and the second is the portfolio investment with risk-free assets.These two situations belong to the investment strategies of investors with two kinds of investment preferences in the market.In the financial market,risk averse people will concentrate their funds on risk assets,so as to obtain higher profits,but also bear high risks.On the other hand,the more stable investment in the financial market will consider allocating part of the funds to risk-free assets,they give up part of the opportunities to obtain high returns,but through the role of asset diversification,reduce their own risk.