摘要
设无风险利率、股票收益率和波动率都是一致有界随机过程,在股票价格服从跳跃一扩散过程时,同时考虑具有随机资金流的介入,研究了二次效用的动态投资组合选择优化问题,通过随机线性二次控制和倒向随机微分方程得到了最优投资组合策略的解析表达式.
In real word as the significant information occurs, the stock price has discontinuous jump. Under this situation, this paper is concerned with a dynamic portfolio selection problem in a complete financial market for quadratic utility maximization under stochastic flows. The problem is solved via linear quadratic control technique and results from BSDEs theory.
出处
《数学的实践与认识》
CSCD
北大核心
2014年第9期19-24,共6页
Mathematics in Practice and Theory
基金
陕西省教育厅科研计划项目(2013JK0594)
陕西省科技厅计划项目(2011JM1007)
关键词
跳跃扩散过程
二次效用函数
倒向随机微分方程
随机线性二次控制
投资组合
jump-diffusion process
quadratic utility maximization
backward stochastic dif-ferential equations
linear quadratic control
optimal portfolio selection
