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.
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