具有非常数回报率的证券指数跟踪问题的简单脉冲控制

Simple Impulse Control for Equity Index Tracking Problem with Non-Constant Return Rate

运用随机脉冲控制理论讨论了均值 -方差模式的现金管理指数跟踪问题 ,在回报率随现金比重变化的情况下 ,讨论了证券指数跟踪最优化问题 ,得出了存在简单脉冲控制策略的充分性条件 .

By applying the stochastic impulse control theory, this paper discusses a cash management problem with index tracking within a mean-variance framework. Optimization of equity index tracking problem whose return rate depending on the cash weight is discussed. Sufficient conditions of existence of the simple impulse control are also presented.