摘要
假定股票市场是一列独立同分布的随机市场收益率的理想模型,考虑经济人在任意时刻进入市场开始投资,经过一段时间后离开市场.利用经验对数最优投资组合得到了资金的渐近最优增长率.这一结果确立了普通投资选择与滑动投资模型的密切联系.
Based on the assumption that the random stock market return is a sequence of independent identically distributed ideal model,this paper considers the situation that an economic man enters the market at any time to start investing,and leaves the investment market after a period of time.The asymptotically optimal growth rate of the capital is obtained by using the empirical logarithmic optimal portfolio.This result establishes a close relationship between ordinary investment options and the moving investment model.
作者
万云倩
范爱华
Wan Yunqian;Fan Aihua(Shool of Mathematics & Physics Science and Engineering, Anhui University of Technology,Ma'anshan 243032, China)
出处
《纯粹数学与应用数学》
2018年第1期99-110,共12页
Pure and Applied Mathematics
基金
安徽工业大学研究生创新基金(2016136)
国家自然科学基金(11571142)
关键词
市场收益率
滑动投资模型
对数最优投资组合
渐近增长率
market return
moving investment model
log-optimal investment portfolio
the asymptotically optimal growth rate
