带有风险规避的证券投资最优策略  

The Optimal Security Investment Tactics with Risk Aversion

作　　者：刘海龙[1] 樊治平[2] 

机构地区：[1]沈阳大学工商管理学院,辽宁沈阳110044 [2]东北大学工商管理学院,辽宁沈阳110006

出　　处：《系统工程理论与实践》2000年第2期44-47,72,共5页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金!( 796 0 0 0 0 6 );辽宁省博士启动基金!( 971 0 2 3)

摘　　要：运用随机最优控制理论,建立了带有风险规避的证券投资最优策略问题的数学模型;然后,给出了值函数和风险规避系数的定义,并通过对值函数进行非线性变换,证明了变换后的值函数满足带有风险规避系数的HJB偏微分方程,特别当风险规避系数无限大时,给出了证券投资最优策略;最后给出了一个算例.By using the theory of stochastic optimal control, a model for the problem of optimal tactics of securities investment with the risk aversion is set up. Then, definitions of the value function and the coefficient of risk aversion are given, and the nonlinear transformation of value function is conducted, which is proved to satisfy HJB partial differential equation with the coefficient of risk aversion. Particularly, the security investment tactics is proposed if the coefficient of risk aversion is infinite. Finally, an example is provided.

关 键 词：证券投资 风险规避 随机最优控制 值函数 

分 类 号：F830.9[经济管理—金融学]