基于跳-扩散过程的资产-负债模型研究  

Asset-liability Model Based on Jumping-Diffusion Process

作　　者：张文[1] 

机构地区：[1]暨南大学经济学院统计学系,广东广州510632

出　　处：《江西科学》2013年第4期444-449,共6页Jiangxi Science

摘　　要：数理方法的应用能够解决投资者在实际投资中所遇到的各种投资组合[1]问题,为投资者提供合理的理论依据。通过在现有的资产-负债模型中加入带跳部分,以达到进一步优化模型的目的,建立更为合理的资产-负债模型,从而让投资组合选择在跳-扩散过程下的资产-负债模型中更加具有理论和现实意义。The application of mathematical methods can solve various portfolio issues that investors will encounter in actual investment, which provides reasonable theory basis for the investor. Based on the existing asset-liability model,jumping part is added to the asset in this paper. It could achieve further optimization and establish asset-liability model more reasonably, so that the portfolio selection has more theoretical and practical significance in this model.

关 键 词：投资组合选择 跳-扩散过程 资产-负债模型 

分 类 号：F830.91[经济管理—金融学]