连续时间最优资产组合选择  

Continuous-time Optimal Portfolio Selection

作　　者：李爱忠[1] 任若恩[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《管理评论》2013年第3期67-73,134,共8页Management Review

基　　金：国家自然科学基金项目(71171009;71031001);广义虚拟经济专项资助项目(GX2010-1001(Z))

摘　　要：研究连续时间资产组合选择的最优化问题,运用Bellman最优性原理及HJB方程构造了一类典型的证券投资组合优化模型,借助随机控制的方法得到相应优化问题的最优投资策略,针对模型在现实环境中的适应性不足提出了采用GARCH模型来估计时变参数的方法,并在一定程度上解释了Canner难题并验证了行为金融学的某些思想。文中方法可以被用于金融风险管理和投资基金管理等实际工作中,以便提高决策的科学性。In this paper a continuous-time portfolio selection optimization decision is made and a typical portfolio selection model is established by use of Bellman principle of optimality and HJB equation. We derive the optimal strategy with general stochastic control technique and GARCH model, and to some extent, explain Canner problems and verify some ideas of behavioral finance. The methodology of this paper is useful in such practice as fund management, financial risk management. It is hoped that the methodology can improve the scientific level of decision making.

关 键 词：投资组合 资产配置 HJB方程 连续时间 随机控制 GARCH模型 

分 类 号：F224[经济管理—国民经济] F830.91