| 投资策略受限情况下借款利率大于债券利率最优投资策略的存在性 |
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| 引用本文： | 雷耀斌,吴让泉. 投资策略受限情况下借款利率大于债券利率最优投资策略的存在性[J]. 东华大学学报(自然科学版), 1999, 0(4) |
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| 作者姓名： | 雷耀斌 吴让泉 |
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| 作者单位： | 中国纺织大学信息科学与技术学院 上海200051(雷耀斌)，中国纺织大学基础科学部 上海200051(吴让泉) |
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| 摘 要： | 研究了借款利率大于债券利率同时投资策略受限制情况下的最优投资问题,证明了最优投资策略的存在性.
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| 关 键 词： | 投资策略 鞅 效用函数 随机微分方程 |
Existence of Portfolio Optimization under Constrains and with Higher Interest Rate for Borrowing than for Lending |
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| Lei Yaobin. Existence of Portfolio Optimization under Constrains and with Higher Interest Rate for Borrowing than for Lending[J]. Journal of Donghua University, 1999, 0(4) |
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| Authors: | Lei Yaobin |
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| Abstract: | Portfolio optimization under constrains and with higher interest rate for borrowing than for lending is researched , and the existence condition of portfolio optimization is presented. |
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| Keywords: | portfolios martingaie utility function stochastic differential equations |
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