关于证券组合在安全区域内的最优投资策略问题

optimal Investment Strat9gY in Safe-region On Porffollo Problem

本文讨论了一类安全区域内的最优证券组合问题,给出了投资者为了使自己的 财富在尽可能短的时间内达到预定的目标财富所应采取的最优控制策略,并且针对具体的目 标财富值及金融市场参数进行了数据分析,得出了为获得既定目标财富所需平均时间的最小 值。

This paper investigates a portfolio strategy problem of an mvestor.In order to obtain the target wealth as quickly as possible,by using Bellman dynamic programming prmc.iple,we get the optimal investment strategy and the corresponding necessary expected time.At last we give some numerical computations for a set oi different parameters.