摘要
利用动态规划方法研究了基于基准过程的动态均值-方差最优投资组合问题,证明了识别定理,得到了剩余过程的均方最优投资策略和有效前沿.
This paper deals with mean-variance portfolio selection problems by the dynamic programming approach under the base processes. A verification theorem is showed and the mean-variance optimal investment strategies and efficient frontier for the surplus processes is derived.
出处
《数学的实践与认识》
CSCD
北大核心
2013年第1期1-9,共9页
Mathematics in Practice and Theory
基金
国家自然科学基金(11171221
11001077)
关键词
均值-方差投资组合选择
识别定理
基准过程
有效前沿
mean-variance portfolio selection
verification theorem
base processes
efficientfrontier
