随机市场系数条件下不连续股价的M-V投资组合选择

Mean-variance optimal portfolio selection with random parameters and discontinuous stock prices

在假定市场系数为随机过程并且股票价格服从跳跃扩散过程的市场条件下应用鞅方法讨论一个M-V模型的最优投资组合选择问题.通过引进凹函数U(x)以及等价鞅测度,应用鞅方法以及贝叶斯定理得到了最优投资策略以及有效边界表达式.

Under the assumption that market parameters are random and the prices of stock follow jump- diffusion process, this paper discusses M-V optimal portfolio selection problem with martingale method. By introducing a concave function U（x）, an equivalent martingale measure, and applying martingale method and Bayes rule, we present the explicit forms of the optimal investment strategies and the efficient frontier.