指数跟踪的最优现金管理策略

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摘要现金管理是指数跟踪管理的一个重要问题。文章研究了现金流服从布朗运动与泊松过程的混合随机过程时指数跟踪的最优现金管理策略,论证了最优现金管理脉冲控制策略的充分条件和存在性,给出了求解最优现金管理策略的参数的方程。

作者李俭富马永开

机构地区西南财经大学统计学院电子科技大学管理学院

出处《统计与决策》 CSSCI 北大核心 2008年第15期131-133,共3页 Statistics & Decision

基金国家自然科学科学基金资助项目(70672104)

关键词指数跟踪现金管理布朗运动泊松过程

参考文献14

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统计与决策

2008年第15期

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