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跳跃-扩散下利率不等的动态投资组合选择 被引量：1

The dynamic portfilino choice under diffusion-jump rates difference
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摘要 给出一个跳跃扩散过程在存款利率和贷款利率不等条件下的均值-方差投资组合选择的模型.用Poisson过程描述股票价格的跳跃.由于跳跃因素,引用了一个关于扩散过程的一般最优控制的验证性定理,在此验证性定理的基础上,应用动态规划原理,求解HJB方程得到原问题的最优策略. The mean-variance model of investment porfolio choices is given,under the condition of difference of deposit rates and loan rates in a jump-fiffusion process.The jumps of stock prices is described by poission process.A general optimal control of the verification theorem is recommended on diffusion process because of the jump factor.Based on the verification theorem,and using dynamic programming,the optimal stategy of the original problem is obtained by solving HJB equation.
作者 赵宁宁 刘宣会
机构地区 西安工程大学理学院
出处 《西安工程大学学报》 CAS 2011年第2期255-260,共6页 Journal of Xi’an Polytechnic University
关键词 跳跃扩散过程 最优投资组合 HJB方程 均值-方差 借款利率 随机PLQ控制 jump-diffusion process optimal portfolio HJB equation mean-variance loan rates random PLQ control
分类号 O224 [理学—运筹学与控制论]
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参考文献9

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西安工程大学学报
2011年 第2期

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