| 投资机会决策中分数布朗运动理论 |
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| 引用本文： | 曹宏铎,韩文秀,李旲.投资机会决策中分数布朗运动理论[J].系统工程学报,2001,16(1):45-49. |
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| 作者姓名： | 曹宏铎 韩文秀 李旲 |
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| 作者单位： | 1. 天津大学系统工程研究所,
2. 天津大学建筑工程学院, |
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| 基金项目： | 国家自然基金资助项目（79970046） |
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| 摘 要： | 根据现代期代理论将投资决策机会视作一种期权，当投资价值（Ｖ）和初始支出（Ｃ）是随时间变化的维纳过程时，根据Ｂlack-Scholes公式给出投资机会的定价模型，当Ｖ和Ｃ是Ｈ（Ｈ≠１／２）指数的分数布朗运动时，则Ｉto微分议程形式将改变，Ｂlack-Scholes公式失效，讨论了Ｈ指对投资决策的影响，给出此时根据Ｈ指数的投资决策的步骤和策略。
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| 关 键 词： | 分数布朗运动 Hurst指数 投资机会选择 投资决策 金融 |
| 文章编号： | 1000-5781(2001)01-0045-05 |
| 修稿时间： | 1999年10月3日 |
Theory of fractal Brownian
motion (FBM) on investment decision making |
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| CAO Hong duo ,HAN Wen xiu,LI Ying.Theory of fractal Brownian
motion (FBM) on investment decision making[J].Journal of Systems Engineering,2001,16(1):45-49. |
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| Authors: | CAO Hong duo HAN Wen xiu LI Ying |
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| Institution: | CAO Hong duo 1,HAN Wen xiu,LI Ying |
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| Abstract: | The pricing model of investment opportunity, regarded as a kindof option on the basis of the option theory, can be formed through the Black-Scholes formula. B ut Ito differential equation is changed and the Black-Scholes formula is no lon ger in force when the project value (V)and initial investment expenditure(C) fol low FBM of H index(H≠1/2). The influence of H index on making investment decisi on is discussed. Finally, steps and tactics to make investment decision are form ed on the basis of H index. |
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| Keywords: | fractal Brownian motion Hurst index investment opportunity option investment decision making |
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