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带有负债的投资组合最优策略的研究
引用本文:袁敏,刘宣会,薛赟.带有负债的投资组合最优策略的研究[J].四川理工学院学报(自然科学版),2010,23(1):119-121,124.
作者姓名:袁敏  刘宣会  薛赟
作者单位:西安工程大学理学院,西安,710048
摘    要:文章在完备的金融市场下,构造了带有负债和风险资产的连续时间的均值-方差投资组合选择模型。假定风险资产的价格过程由布朗运动加跳所驱动,而负债的价格过程则是由带有漂移的布朗运动驱动,并且考虑风险资产与负债之间的关系。其最终的目标是最大化期望终端财富同时最小化其方差。在连续时间的情形下,运用随机最优控制理论解决资产与负债的管理问题。即,通过使用一般的随机线性二次控制方法得到最优控制策略。

关 键 词:投资组合  负债  均值-方差模型  随机线性二次控制

Study of Continuous-time Portfolio Optimal Strategy with Liability
YUAN Min,LIU Xuan-hui,XUE Yun.Study of Continuous-time Portfolio Optimal Strategy with Liability[J].Journal of Sichuan University of Science & Engineering:Natural Science Editton,2010,23(1):119-121,124.
Authors:YUAN Min  LIU Xuan-hui  XUE Yun
Institution:YUAN Min,LIU Xuan-hui,XUE Yun(School of Science,Xi\'an Polytechnic University,Xi\'an 710048,China)
Abstract:In this paper,we formulate mean-variance portfolio selection model with risky asset and liability in an complete market.The risky asset's price is drivened by geomtric Brownian motion with drift while the liability evolves according to a Brownian motion.The correlations between the risky asset and liability are considered.We empoly stochastic optimal control theory to analytically solve the asset-liability management problem in a continuous-time setting.More specifically,we derive the optimal policy from a ...
Keywords:portfolio  liability  mean-variance model  stochastic linear-quadratic control  
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