具有信息的最优投资组合

The Optimal Portfolio with Information

证券市场的将来是未知的.投资者只能依据所掌握的信息作出相应的投资策略.事实上,信息对投资组合的影响是各种各样的.考虑多个时期有信息作用的投资组合策略问题,建立了有信息影响的最优投资组合的凸规划模型,得到了模型的最优解及其极限,并给出了一些投资组合受信息作用的情形.

The stock market behavior of future can not been known. Investor have to make their strategy by using information. In fact, there are various of information, they maybe cause change of portfolios. In this paper, a convex programming model for optimal portfolio select strategy with information was present. We got the result of optimal solution with information and its limitation, Finally, we give the economic signification whateffect the kind of information on the portfolio.