部分信息下的最优投资选择模型研究  

Continuous-time Mean-variance Portfolio Selection

作　　者：段亚军[1] 刘宣会[1] 王卫星[1] 

机构地区：[1]西安工程大学理学院,陕西西安710048

出　　处：《佳木斯大学学报（自然科学版）》2010年第6期942-945,共4页Journal of Jiamusi University：Natural Science Edition

基　　金：陕西省自然科学基金(2010JQ1013)

摘　　要：在部分信息下研究了均值方差投资选择模型.投资者只能观察到风险资产的价格,漂移过程用一个高斯过程来刻画.本文的目的是使最终财富期望最大化,而使得最终财富的方差最小.本文模型中有一个债券及股票资产,在部分信息下推导出了最优策略及均值方差有效前沿.The mean-variance portfolio selection problem in the case of partial information was studied,which was to maximize the expectation of the terminal wealth and minimize its variance.There were two risk assets,the bond and the stock.Investors could only observe security prices.The drift process will be modeled by a Gaussian process.The optimal portfolio strategy and the efficient frontier for the original M-V portfolio optimization problem were obtained in closed forms.

关 键 词：投资组合选择 部分信息下 均值方差模型 泊松过程 

分 类 号：O224[理学—运筹学与控制论]