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后悔最小化的最优投资策略研究 被引量:1

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摘要 文章研究了后悔最小化的最优投资问题,利用随机控制理论中的HJB方程给出了最优投资策略的表达式。结果表明,在存在后悔心理时,投资者存在看跌心理。和效用最大化时相比,投资策略之差为两个函数的弹性系数比,并且随着初始财富的增加和投资期限的延长,两个投资策略会趋同。
出处 《统计与决策》 CSSCI 北大核心 2009年第2期43-44,共2页 Statistics & Decision
基金 国家自然科学基金资助项目(70573118)
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参考文献6

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同被引文献20

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