股价有跳跃时在均值方—差目标下的证券组织选择

讨论均值－方差问题，即使终端财富的期望一定的条件下，选择适当的投资策略以使终端财富的方差最小，假设股票价格由布朗运动和泊松过程共同驱动。在证券投资组合有约束的一般情况下，证明了最优证券组合的存在唯一性，在证券投资无约束的情况下，具体解出了最优证券组合的显式表达式，从而得到了市场的有效前沿。

The Mean-Variance Portfolio Selection Problem with Stock Price Jump

It is studied that mean variance portfolio selection problem, which is to minimize the variance of the expection of the termial wealth under the condition that the expection of the termial wealth is constrained to a given level. It is assumed that the stock price processes are driven by a Brownian motion and a possion process. The existence and uniqueness of the optimal protfolio are proved when the portfolio is suitably constrained. Moreover, an explict formula is given for the optimal portfolio when there is no constraint to the potfolio.