带负债的连续时间最优资产组合选择  

CONTINUOUS-TIME OPTIMAL PORTFOLIO SELECTION WITH LIABILITY

作　　者：谢树香[1] 李仲飞[2] 

机构地区：[1]中山大学数学与计算科学学院,广州510275 [2]中山大学岭南学院,广州510275

出　　处：《系统科学与数学》2007年第6期801-810,共10页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金(70471018;70518001);新世纪优秀人才支持计划(NCET-04-0798);高等学校全国优秀博士学位论文作者专项资金(200267)资助课题

摘　　要：构造了一个带外生负债的连续时间均值-方差最优投资组合选择模型.假定风险资产价格的演变服从几何布朗运动,累积负债服从带漂移的布朗运动,并且市场系数恒为常数,借助随机LQ控制方法得到相应的均值-方差优化问题的最优策略和有效边界.In the paper a continuous-time mean-variance portfolio selection model with liability is established. Under the assumption that the price of the risky asset follows a geometric Brownian motion and the liability evolves according to a Brownian motion with drift, all the market coefficients are assumed to be constants, we derive the optimal strategy and efficient frontier in closed forms for the mean-variance model by use of general stochastic LQ technique.

关 键 词：投资组合 负债 连续时间 M—V模型 随机LQ控制 

分 类 号：F830.59[经济管理—金融学] F224