股价服从跳—扩过程的投资组合优化问题研究  

Researches on Problem of Portfolio Optimization for Price of Stocks with Jump-diffusion Processes

作　　者：张夏洁 刘宣会[1] 贾丹琴 

机构地区：[1]西安工程大学理学院,西安710048

出　　处：《世界科技研究与发展》2015年第5期584-587,共4页World Sci-Tech R&D

基　　金：陕西省教育厅科研计划项目基金(2013JK0594);西安工程大学研究生创新基金(CX2015002)资助

摘　　要：在有重大事件出现时,股价会出现不连续的跳跃,这时一般将股票价格考虑为跳跃-扩散模型。本文基于随机微分对策的思想,建立两人竞争的投资组合优化模型,在股票价格服从跳跃-扩散过程时,运用Ito公式和泛函变分法,研究在对数效用函数下投资竞争的最优投资组合策略问题,并得到显式解。When the important things occurs,the stock price will be discontinuous jumps and generally be considered as jump-diffusion model. Based on the idea of stochastic differential game,a portfolio optimization model is established with two people competition. While the stock price subject to the jump-diffusion process,the Ito formula and functional variational method are used to study the issues of optimal portfolio strategy with a investment competition for the logarithmic utility function and get explicit solutions.

关 键 词：随机微分对策 跳跃-扩散过程 投资组合策略 效用函数 ITO公式 泛函变分法 

分 类 号：F830.91[经济管理—金融学] F224