具有随机资金流的一类效用优化问题研究

A Portfolio Optimization with Stochastic Cash Flow

现实的金融市场上,当有重大信息出现时,会对股价产生冲击,使得股价产生跳跃,同时投资过程会有随机资金流的介入,考虑股价出现跳跃与随机资金流介入的投资组合优化问题,通过构造倒向-前向随机微分方程并结合随机最优控制理论研究了一般效用函数下的投资组合选择问题,获得最优投资组合策略,然后针对二次效用函数,给出显式表示的最优投资组合策略.

When important information occurs under actual environment ,a discontinuous j ump will emerge in the stock price.We concern with a dynamic portfolio problem with stochastic cash flow and j ump.The optimal portfolio is constructed via the stochastic control and the results from backward-forward stochastic differential equations theory .As an example,the exact computation of the optimal strategy was given for quadratic utility maximization.