| 不允许卖空限制下跳扩散模型的动态均值-方差资产负债问题 |
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| 引用本文： | 周新梅.不允许卖空限制下跳扩散模型的动态均值-方差资产负债问题[J].重庆师范学院学报,2014(3):72-76. |
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| 作者姓名： | 周新梅 |
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| 作者单位： | 贵州大学人民武装学院,贵阳550025 |
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| 摘 要： | 研究了在不允许卖空情况下跳扩散模型的动态均值一方差资产负债问题。本文利用两个黎卡提方程构造出HJB方程的一个连续解V（t，x），然后验证这个解是方程的粘性解，并利用粘性解和识别定理得到了最优投资策略和有效边界。
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| 关 键 词： | HJB方程 粘性解 负债 有效边界 |
Dynamic Mean-variance Asset-liability Problem for Jump-diffusion Model with No-shorting Constraints |
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| ZHOU Xin-mei.Dynamic Mean-variance Asset-liability Problem for Jump-diffusion Model with No-shorting Constraints[J].Journal of Chongqing Normal University(Natural Science Edition),2014(3):72-76. |
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| Authors: | ZHOU Xin-mei |
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| Institution: | ZHOU Xin-mei (The People＇s Armed College, Guizhou University, Guiyang 550025, China) |
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| Abstract: | This paper deals with a mean-variance asset-liability problem for jump-diffusion model under no-shorting constraints. A continuous solution of the HJB equation is constructed through two Ricttati equations, and show that this function is a viscosity so- lution of the HJB equation. Using the viscosity solution and verification theorem, explicitly the optimal strategy and the mean-vari- ance efficient frontier in closed forms are obtained. |
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| Keywords: | HJB equation viscosity solution liability effcient frontier |
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