等价鞅测度在投资策略中的应用

Application of Martingale Measure Theory on Optimal Protfolio

针对投资决策分析中一般关系式的表达问题,依据等价鞅测度理论,采用鞅论的分析方法,提出了交易策略为自融资交易策略时的充要条件及自融资财富过程的表达式,并使用等价鞅测度方法进行了严格的论证和推导,得到了自融资折现与最优投资决策过程的一般表达式.

This paper studies the Equivalent Martingale Measure Approach on optimal portfolio. Being aimed at the problem of the expression of common relative formulas in investment decision and on the basis of the equivalent martingale measure approach, we give some rigorous analytic demonstrations and derivations in the paper. Finally, we get two universal formulas about the process of self - financing converting to money process and optimal portfolio with the equivalent martingale measure.