The essential feature of agriculture is the interweave- ment of natural reproduction and economic reproduction.In recent years,the natural disasters have become more frequent and badly affect the production management...The essential feature of agriculture is the interweave- ment of natural reproduction and economic reproduction.In recent years,the natural disasters have become more frequent and badly affect the production management and investment benefits.This problem has been an important risk in managing agricultural listed companies and cannot be ignored.It is of great importance to evaluate and prevent the risks of the natural disasters to enhance the competitive ability and increase the profits of those listed companies,thereby keeping the sustainable development of agri- cultural companies.展开更多
Under the continuous time （d＋1） assets market model with finite time horizon T, and the condition that all coefficients in model are stochastic processes, the decision of investment portfolio selection had been stu...Under the continuous time （d＋1） assets market model with finite time horizon T, and the condition that all coefficients in model are stochastic processes, the decision of investment portfolio selection had been studied. By using K.Itǒ formuia and backward stochastic differential equation＇s theory, on the relation of investment portfolio processes, fortune processes, the backward stochastic differential equation model for stochastic control problem had been established, the relation between the prime fortune process and the end- all fortune process had been proposed, the existence and uniqueness of investment portfolio had been proved, and the formula for investment portfolio had been arrived. On the setting of mean-variance portfolio selection, we obtained the formula of optimal efficient investment portfolio. Furthermore, the mean-variance efficient frontier is too obtained explicitly in the form of parameter.展开更多
文摘The essential feature of agriculture is the interweave- ment of natural reproduction and economic reproduction.In recent years,the natural disasters have become more frequent and badly affect the production management and investment benefits.This problem has been an important risk in managing agricultural listed companies and cannot be ignored.It is of great importance to evaluate and prevent the risks of the natural disasters to enhance the competitive ability and increase the profits of those listed companies,thereby keeping the sustainable development of agri- cultural companies.
文摘Under the continuous time （d＋1） assets market model with finite time horizon T, and the condition that all coefficients in model are stochastic processes, the decision of investment portfolio selection had been studied. By using K.Itǒ formuia and backward stochastic differential equation＇s theory, on the relation of investment portfolio processes, fortune processes, the backward stochastic differential equation model for stochastic control problem had been established, the relation between the prime fortune process and the end- all fortune process had been proposed, the existence and uniqueness of investment portfolio had been proved, and the formula for investment portfolio had been arrived. On the setting of mean-variance portfolio selection, we obtained the formula of optimal efficient investment portfolio. Furthermore, the mean-variance efficient frontier is too obtained explicitly in the form of parameter.
