摘要
最佳的公事包的问题是那发现做贸易的策略令人满意最大的期望的用途功能题目到一些限制。在风险下面有最佳的做贸易策略中立概率措施(鞅措施) 如果并且仅当在市场上有没有套利机会。这份报纸主张最佳的财富和有不同用途的期望的用途的最佳的值工作。
The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure （martingale measure） if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.
关键词
预期效用函数
最优化
风险不确定概率
概率论
expected utility function
optimization
portfolio
risk neutral probability
