研究随机利率环境下基于效用最大化的动态投资组合,并假设利率是服从Ho-Lee利率模型和Vasicek利率模型的随机过程.应用动态规划原理得到值函数满足的HJB方程,并应用Legendre变换得到其对偶方程.最后,应用变量替换对二次效用函数下的最优投资策略进行研究,得到了最优投资策略的显示解. We study the dynamic portfolio based on utility maximization under the random interest rate environment and assume that the interest rate is a stochastic process subject to the Ho-Lee interest rate model and the Vasicek interest rate model.Using the principle of dynamic programming, we obtain the HJB equation satisfied by the value function, Dual equations.Finally, the optimal investment strategy under the quadratic utility function is studied by using variable substitution, and the display solution of the optimal investment strategy is obtained.