带有负债的投资组合最优策略的研究  

Study of Continuous-time Portfolio Optimal Strategy with Liability

作　　者：袁敏[1] 刘宣会[1] 薛赟[1] 

机构地区：[1]西安工程大学理学院,西安710048

出　　处：《四川理工学院学报（自然科学版）》2010年第1期119-121,124,共4页Journal of Sichuan University of Science & Engineering(Natural Science Edition)

摘　　要：文章在完备的金融市场下,构造了带有负债和风险资产的连续时间的均值-方差投资组合选择模型。假定风险资产的价格过程由布朗运动加跳所驱动,而负债的价格过程则是由带有漂移的布朗运动驱动,并且考虑风险资产与负债之间的关系。其最终的目标是最大化期望终端财富同时最小化其方差。在连续时间的情形下,运用随机最优控制理论解决资产与负债的管理问题。即,通过使用一般的随机线性二次控制方法得到最优控制策略。In this paper, we formulate mean-variance portfolio selection model with risky asset and liability in an com- plete market. The risky asset＇s price is drivened by geomtric Brownian motion with drift while the liability evolves according to a Brownian motion. The correlations between the risky asset and liability are considered. We empoly stochastic optimal control theory to analytically solve the asset-liability management problem in a continuous-time setting. More specifically, we derive the optimal policy from a stochastic linear quadratic control framewok.

关 键 词：投资组合 负债 均值-方差模型 随机线性二次控制 

分 类 号：O211.6[理学—概率论与数理统计]