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| 多维扩散模型的最优投资问题 | |
| 引用本文： | 刘利敏,牛保青,杨忻,赵玉亮.多维扩散模型的最优投资问题[J].河南师范大学学报(自然科学版),2007,35(2):16-19. |
| 作者姓名： | 刘利敏 牛保青 杨忻 赵玉亮 |
| 作者单位： | 1. 河南师范大学,数学与信息科学学院,河南,新乡,453007 2. 安阳师范学院,数学系,河南,安阳,455000 3. 北京师范大学,数学科学学院,北京,100875 |
| 摘 要： | 研究了多维扩散模型的最优投资问题.通过对数变换将最优问题的HJB方程转化为半线性偏微分方程,证明了最优投资组合解的存在性,给出了价值函数和最优投资策略. |
| 关 键 词： | 最优投资问题 HJB方程 最优投资策略 |
| 文章编号： | 1000-2367(2007)02-0016-04 |
| 修稿时间： | 2006-02-16 |
The Optimal Investment Problem with the Multi-dimension Diffusion Model |
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| LIU Li-min,NIU Bao-qing,YANG Xin,ZHAO Yu-liang.The Optimal Investment Problem with the Multi-dimension Diffusion Model[J].Journal of Henan Normal University(Natural Science),2007,35(2):16-19. | |
| Authors: | LIU Li-min NIU Bao-qing YANG Xin ZHAO Yu-liang |
| Institution: | 1. College of Mathematics and Information Science, Henan Normal University, Xinxiang 453007; 2. Department of Mathematics, Anyang Teachers College, Anyang 455000, China; 3. Mathematics College, Beijing Normal University, Beijing 100875, China |
| Abstract: | The paper presents the optimal investment problem with the multi-dimension diffusion model.The HJB equation associated to the optimal investment problem becomes the semilinear partial differential equation by the logarithmic transformation.The existence of optimal portfolios solution is proved and the value function and optimal strategies are given. |
| Keywords: | the optimal investment problem HJB equation the optimal strategies |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |