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存款利率与贷款利率不等式的随机线性二次最优控制的应用 被引量：1

Application of stochastic linear quadratic optimal control In mean-variance portfolio selection problem
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摘要 讨论在存贷款利率与贷款利率不等和非自融资(考虑收入和消费)条件下的随机线性二次最优控制问题,将其应用到连续时间的均值-方差投资组合选择问题中,得到最优证券组合. Discussed in the deposit and lending rates and the lending rates ranging and non-self-financing（taking into account income and consumption） under conditions of stochastic linear quadratic optimal control problem.Be applied to continuous time mean-variance portfolio selection problems,the optimal portfolio.
作者 赵宁宁 刘宣会 贺松梅
机构地区 西安工程大学
出处 《佳木斯大学学报（自然科学版）》 CAS 2010年第5期793-795,800,共4页 Journal of Jiamusi University：Natural Science Edition
关键词 线性二次控制 均值-方差 随机黎卡提方程 跳跃扩散 linear quadratic control mean-variance stochastic Riccati equation jump-diffusion process
分类号 O174.14 [理学—基础数学] O174.5 [理学—基础数学]
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参考文献7

  • 1郭文旌.跳跃扩散股价的最优投资组合选择[J].控制理论与应用,2005,22(2):171-176. 被引量：19
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  • 3X. Y. Zhou,D. Li.Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework[J]. Applied Mathematics & Optimization . 2000 (1)
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共引文献19

同被引文献10

  • 1刘宣会,徐成贤,胡奇英.股票价格服从跳跃-扩散过程套期保值问题的随机LQ框架[J].工程数学学报,2005,22(2):333-338. 被引量：2
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  • 7ANDREW E B,LI M,ZHOU X Y. Mean-variance portfolio selection with random parameters in a complete market[J]. Mathematics of Operations Research, 2002,27 (1): 101-120.
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  • 10李宏杰,肖杰胜,刘海东,潘根梅.不同借贷利率下含有交易成本的投资组合模型[J].嘉兴学院学报,2009,21(5):51-58. 被引量：1

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佳木斯大学学报（自然科学版）
2010年 第5期

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