基于微分对策的证券投资决策方法

Security Investment Decision Method Based on Differential Game

在假设证券收益存在有界不确定性的前提下，基于微分对策理论，研究了具有ｎ种证券金融市场中，当交易策略无界时的投资决策问题．首先，建立了证券投资决策的微分对策模型，然后，证明了微分对策模型存在唯一的值函数，并根据微分对策理论推导出了值函数所满足的偏微分方程．最后，基于微分对策的值函数，给出了最差情况下最优的投资策略·

Under the assumption that security returns have bounded uncertainty,based on the theory of differential game the investment decision problem with unbounded trading rates in a n security financial market was studied. First, the differential game model for security investment decision was established. Then the differential game proved to have a unique value function, and a partial differential equation was obtained for the value function. Finally,the optimal worst case investment strategy was provided with the value function of the differential game.