摘要
研究了带转移机制且股票价格服从几何Levy过程的均值-方差投资组合选择模型。用一个连续时间平稳马氏链表示市场所处的状态,文中主要参数,比如资产收益、Levy测度等均依赖于所处的市场状态。分析了最优投资组合策略的存在性,用动态规划方法得到了最优投资组合策略、最优目标函数和有效前沿。
A continuous-time mean-variance portfolio selection model when stock prices follow geometric Levy processes is investigated.The primal parameters,such as the interest rate of riskless asset and the Levy measure,depend on the market states modulated by a continuous-time Markov chain.The existence of optimal solutions is analyzed,and the optimal strategy and the efficient frontier of the model in closed-form are derived by dynamic programming.
出处
《中山大学学报（自然科学版）》
CAS
CSCD
北大核心
2011年第1期31-33,38,共4页
Acta Scientiarum Naturalium Universitatis Sunyatseni
基金
国家杰出青年科学基金资助项目(70825002)
国家973计划资助项目(2007CB814902)
