摘要
该文解决了比文献 [1 ]更为一般的随机线性二次最优控制问题 ,并将其应用到连续时间的均值——方差投资组合选择问题中 ,在非自融资 (考虑消费 )的条件下 ,得出最优证券组合。
Based on the thesis , the paper solves a general stochastic linear quadratic controllable problem and applies it to continuous time Mean-Variance portfolio selection problem. Moreover, the optimal portfolio is obtained on the condition of non self financing.
出处
《嘉兴学院学报》
2003年第3期74-79,共6页
Journal of Jiaxing University
关键词
线性二次控制
均值一方差
投资
组合
linear quadratic control
Mean-Variance
portfolio
selection.
