倒向随机微分方程及其在证券投资组合中的应用被引量：2

The Reverse Stochastic Differential Equation and its Application to the Research on the Securities Composed Investment

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摘要在理论与实践中,对投资组合的研究已取得了辉煌的成果。本文通过运用倒向随机微分方程,研究当投资者以将来某一时刻获取一定数额的适应性收益为投资目标时,如何确定当前证券投资组合中各证券的投资比例。文中运用倒向随机微分方程给出证券组合的模型,并给出了相应的解的形式。

作者郁俊莉韩文秀李泽峰

机构地区天津大学管理学院河北证券投资部

出处《数量经济技术经济研究》 CSSCI 北大核心 2001年第11期90-93,共4页 Journal of Quantitative & Technological Economics

关键词证券投资组合倒向随机微分方程正向随机微分方程

参考文献1

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数量经济技术经济研究

2001年第11期

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