摘要
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。
In this paper, the author discussed the best securities combinations in class 1 safety field, provided the optimized controlling strategies to investors who want the fortune meets the scheduled target as soon as possible, took some data analyses on detailed target fortune and parameters of financial market, by which worked out the minimum average time to gain the scheduled target fortune.
出处
《北京交通大学学报（社会科学版）》
2005年第3期57-60,共4页
Journal of Beijing Jiaotong University(Social Sciences Edition)
关键词
证券组合
最优投资策略
几何布朗运动
H-J-B方程
securities combination
optimized investment strategy
geometrical Brown movement
H-J-B equation
