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LQ理论在参数随机的证券投资组合套期保值中的应用 被引量：2

The Applications of LQ Theory to Hedging Security Portfolios with Random Parameters
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摘要 在连续时间情形、不考虑交易费用、市场无摩擦假设,以及套期保值准则等条件下,考察了参数随机的证券投资组合中加入未定权益类衍生品形成的最优动态投资策略(u*(t)),并给出了该投资组合的最优模型所对应的黎卡提(Riccati)方程的解的存在性证明. Under the assumption of free transaction cost and of no frictional market, This article focuses on optimal dynamic investment strategy （u· （t）） of one kind of investment portfolio with the rule of hedging under the continuous time if fix equity derivatives were added to security portfolio with random coefficient. Then, the article has proved the existence of solution of riccati equation.
作者 袁军 杨成
机构地区 上海工程技术大学管理学院 上海财经大学金融学院
出处 《数学的实践与认识》 CSCD 北大核心 2008年第16期33-37,共5页 Mathematics in Practice and Theory
关键词 LQ理论 最优投资策略 套期保值 黎卡提方程 LQ theory the control of optimal portfolio hedging riccati equation
分类号 F830.91 [经济管理—金融学] F224 [经济管理—国民经济]
  • 相关文献

参考文献11

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  • 2刘海龙,吴冲锋.基于鲁棒控制的期权套期保值策略[J].控制与决策,2001,16(6):974-976. 被引量：9
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二级参考文献14

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共引文献12

同被引文献12

  • 1王波,孟庆欣.有交易费的美式未定权益的套期保值(英文)[J].复旦学报（自然科学版）,2005,44(3):403-410. 被引量：3
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  • 4Merton R C.Optimal consumption and portfolio rules in a continuous time model [J].Economic Theory, 1971, 3: 373-413.
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  • 6Merton R C.An analytic derivation of the efficient frontier[J]. Journal of Finance and Quantitative Analysis, 1972, 9: 1851-1872.
  • 7Andrew E B, Lim, Zhou X Y. Mean-variance portfolio selec- tion with random parameters inacomplete emarket[J]. Mathe- matices of Operations Research, 2002,27 ( 1 ) : 101-120.
  • 8LAMBERTON D, PHAM H, SCHWEIZER M. Local risk - min- imization under transaction costs [ J ]. Mathematics of Operations Research, 1998, 23(3): 585-612.
  • 9LIM A E B, ZHOU X Y. Mean - variance portfolio selection with random parameters inacomplete emarket[ Jl. Mathematics of Operations Research, 2002, 27(1 ) : 101 - 120.
  • 10LIM A E B. Quadratic hedging and mean - variance portfolio se- lection with random parameters in an incomplete market [ J ]. Mathematics of Operations Research, 2004, 29( 1 ) : 132 -161.

引证文献2

二级引证文献3

数学的实践与认识
2008年 第16期

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