有现金流追加的具有随机时域的均值-方差投资策略的研究

Study on investing strategies of mean-variance selection with a stochastic cash flow and random time horizon

考虑有随机现金流追加情形下随机时域的均值-方差投资选择问题。首先,建立一个均值-方差模型,用一个随机过程来表示随机现金流;然后,将模型转化为一个确定时域的均值-方差模型;最后,用动态规划的方法得到了最优策略,并进行了数值计算。

In this paper,we have studied the multi-period mean-variance portfolio selection with a stochastic cash flow and random time horizon. Firstly, we built a mean-variance model, and represented the stochastic cash flow by a stochastic process. Then,we transformed the model into one with determined time domain. Finally,we obtained the analytical optimal multi-period portfolio strategy with the method of dynamic programming and provided the numerical results.