| 红利支付情形下最优投资组合模型研究 |
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| 引用本文： | 胡慧敏,张礼波. 红利支付情形下最优投资组合模型研究[J]. 阜阳师范学院学报(自然科学版), 2014, 0(1): 8-10,15 |
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| 作者姓名： | 胡慧敏 张礼波 |
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| 作者单位： | 安徽工程大学数理学院,安徽芜湖241000 |
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| 基金项目： | 基金项目：国家自然科学基金项目（71210107026）资助. |
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| 摘 要： | 提出了投资者如何使得终端财富期望效用最大化问题。证券价格的随机微分方程中出现的漂移过程以及布朗运动被假设为投资者在市场中观测不到的,投资者只关注证券价格和利息率,在此模型框架背景下讨论红利支付状态的最优投资组合策略,进一步对前人研究的相关模型进行了推广。
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| 关 键 词： | 梯度算子 Clark公式 红利 投资策略 |
Optimal portfolio strategy model with dividend-paying state |
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| HU Hui-min,ZHANG Li-bo. Optimal portfolio strategy model with dividend-paying state[J]. Journal of Fuyang Teachers College:Natural Science, 2014, 0(1): 8-10,15 |
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| Authors: | HU Hui-min ZHANG Li-bo |
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| Affiliation: | ( School of Mathematics and Physics, Anhui Polytechnic University, Wuhu Anhui 241000, China) |
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| Abstract: | The optimization problem of maximizing investors＇ expected utility fi＇om terminal is addressed. It was assumed that the drift process and the driving Brown/notion appearing in the stochastic differential equation for the security prices were unobserv- able for investors in the market, and that investors only observed security prices and interest rates. Under the assumption, the optimal portfolio strategy of dividend payments was discussed and the related models were promoted. |
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| Keywords: | gradient operator Clark＇ s formula dividend investment strategy |
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