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| 证券投资决策的微分对策方法研究 | |
| 引用本文： | 刘海龙,郑立辉,樊治平,潘德惠. 证券投资决策的微分对策方法研究[J]. 系统工程学报, 1999, 14(1): 69-72,90 |
| 作者姓名： | 刘海龙 郑立辉 樊治平 潘德惠 |
| 作者单位： | 1. 沈阳大学工商管理学院,沈阳,110044 2. 华中理工大学系统工程研究所,武汉,430074 3. 东北大学工商管理学院,沈阳,110006 |
| 基金项目： | 国家自然科学基金,辽宁省博士启动基金 |
| 摘 要： | 在证券价格存在有界不确定性的假设下，研究了基于最差情况的最优证券投资决策问题。首先建立了证券投资决策的微分对策模型，然后，证明了该微分对策模型存在唯一的值函数，最后，根据微分对策理论得出了值函数所满足的偏微分方程。 |
| 关 键 词： | 证券投资 微分对策 值函数 证券价格 投资决策 |
THE DIFFERENTIAL GAME APPROACH FOR SECURITY INVESTMENT DECISIONS |
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| Liu Hailong,Zheng Lihui,Fan Zhiping,Pan Dehui. THE DIFFERENTIAL GAME APPROACH FOR SECURITY INVESTMENT DECISIONS[J]. Journal of Systems Engineering, 1999, 14(1): 69-72,90 | |
| Authors: | Liu Hailong Zheng Lihui Fan Zhiping Pan Dehui |
| Abstract: | Under the assumption that security price has bounded uncertainty,this paper studies a security investment decision problem with the worst case optimization method.First,a differential game model for security investment decision is established.Then the existence and uniqueness of the value function for the differential game model is verified.Finally,a partial differential equation that is satisfied by the value function is obtained on the basis of the differential game theory. |
| Keywords: | security investment differential game value function bounded uncertainty Isaacs Bellman equation |
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