次分数布朗运动环境下的最优投资组合问题的显式解

The Explicit Solution of Optimal Portfolio in the Sub-FractionalBrownian Motion Environment

假定标的资产价格服从次分数布朗运动驱动的随机微分方程,在效用函数为对数效用函数的条件下,利用随机分析理论得到单资产多噪声情形下的最优投资组合模型的显式解,此显式解可以为市场投资者带来很多便利。

It assumed that the asset price obeys the stochastic differential equation with constant coefficient and driven by the Sub-fractional Brownian Motion in this paper.By using the theory of stochastic analysis,the explicit solutions of the optimal portfolio problem is given when the utility function is the logarithm function for the single asset and multi-noise,and this explicit solutions can give advice to investors.