在部分信息下均值-方差投资组合问题研究  

Study on mean-variance investment portfolio under partial information

作　　者：郭婷 刘宣会[1] 李照琪 

机构地区：[1]西安工程大学理学院,西安710048

出　　处：《哈尔滨商业大学学报（自然科学版）》2017年第6期749-754,共6页Journal of Harbin University of Commerce：Natural Sciences Edition

摘　　要：在部分信息下,研究带有负债的均值-方差投资组合问题.假定金融市场是由一个无风险资产和风险资产组成,风险资产的漂移项为不可观测的Markov调制过程,负债满足伊藤过程.运用Wonham滤波和广义Hamilton-Jacobi-Bellman方程的方法,得到闭形式的时间齐次的均衡投资策略及相应的值函数.Mean-variance investment portfolio with liability under partial information was considered. The financial market consists of a risk-free asset and a risky asset with unobservable Markov-modulated regime switching drift process,by Wonham filter theory and constructing an extended Hamilton-Jacobi-Bellman equations,closed-form time-consistent expressions of the equilibrium investment strategy and the corresponding equilibrium value were derived.

关 键 词：均值-方差 MARKOV调制 广义HJB方程 部分信息 

分 类 号：O211[理学—概率论与数理统计]