作 者: ;
机构地区: 中山大学管理学院
出 处: 《系统科学与数学》 2007年第6期801-810,共10页
摘 要: 构造了一个带外生负债的连续时间均值一方差最优投资组合选择模型.假定风险资产价格的演变服从几何布朗运动,累积负债服从带漂移的布朗运动,并且市场系数恒为常数,借助随机LQ控制方法得到相应的均值一方差优化问题的最优策略和有效边界. In the paper a continuous-time mean-variance portfolio selection model with liability is established. Under the assumption that the price of the risky asset follows a geometric Brownian motion and the liability evolves according to a Brownian motion with drift, all the market coefficients are assumed to be constants, we derive the optimal strategy and efficient frontier in closed forms for the mean-variance model by use of general stochastic LQ technique.
关 键 词: 投资组合 负债 连续时间 M—V模型 随机LQ控制
分 类 号: [F830.9]
领 域: []