一类组合受约束的最优化问题及其最优解(英文)  

A Class of Optimization Problems with Portfolio Constraints and the Corresponding Optimal Solution

作　　者：廖长高[1] 李贤平[1] 徐萍[1] 

机构地区：[1]复旦大学统计运筹系,上海200433

出　　处：《应用数学》2003年第2期118-123,共6页Mathematica Applicata

摘　　要：这篇文章中 ,我们建立了资产组合在受到约束时的期望效用优化问题 ,在我们特殊的指数效用函数下 ,我们发现最终的决策不依赖于具体的贴现函数 .在文章的结尾部分 。In the paper,we attempt to illustrate a continuous time constrained portfolio and consumption optimization problem within a specific power utility function.We find that the final decision is obviously not dependent on the discount functions,which makes us more surprised.Meanwhile,we also discuss a few common constrains imposed upon portfolio choices and write out the corresponding optimal strategies.

关 键 词：资产组合 随机动态规划 风险资产 对偶问题 辅助市场 可容许策略 约束 指数效用函数 期望效用优化 

分 类 号：F830.91[经济管理—金融学] F224.7