连续时间证券组合安全第一准则

Safe-First Criteria of Security Portfolio Selection in Continuous Time

马科维茨均值-方差分析是研究证券组合选择的一种基本方法,而Roy提出一种“安全第一”准则,该准则多出现在单阶段与多阶段证券组合选择的研究中.本文分别在完全信息与部分信息下,运用安全第一准则分别研究了连续时间证券组合选择问题, 利用鞅方法与Malliavin分析得到投资者的最优投资策略.

The mean-variance analysis provides a fundamental approach for modern portfolio selection, the safety-first approach proposed by Roy represents another school of think the safety first criteria is used to the sigle period and muti period problems. This paper extands the safte-first approah of Roy to the continuous-time security portfolio selection, under the full information and partial information, the optimal strategy is obstained by martingale method.