摘要
本文考察在连续时间情形下,一类跨国(主要研究两国之间)证券投资组合在均值—方差(M-V)优化准则下的最优投资策略(u*(t)),并进一步对该投资组合的有效边界进行研究,得出均值和方差之间的具体表达式.
In this paper we focuse on an optimal investment strategy of one kind of multi-national security portfolio with the optimization rule of Mean-Variance under the continuous time and on the research of efficient frontier of investment portfolio. Therefore we can come to the conclusion of specific expression of the relation between mean and variance.
出处
《山西师范大学学报（自然科学版）》
2007年第4期22-26,共5页
Journal of Shanxi Normal University(Natural Science Edition)
关键词
均值-方差
最优投资策略
有效边界
黎卡提方程
mean-variance
the control of optimal portfolio
efficient frontier
riccati equation
