| 在不允许卖空条件下的最优比例再保险投资 |
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| 引用本文：鲁忠明，郭文旌.在不允许卖空条件下的最优比例再保险投资[J].经济数学,2011,(2):69-74 |
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| 中文摘要:假设保险公司的盈余过程服从一个带扰动项的布朗运动，保险公司可以投资一个无风险资产和n个风险资产，还可以购买比例再保险，并且风险市场是不允许卖空的.本文在均值-方差优化准则下研究保险公司的最优投资-再保策略选择问题，利用LQ随机控制方法求解模型，得到了保险公司的最优组合投资策略的解析和保险公司投资的有效投资边界的解析表达式. |
| 中文关键词:HJB方程 均值-方差准则 有效边界 LQ随机控制 |
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| Optimal Proportional Reinsurance and Investment with No Shorting Constraint |
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| Abstract:The basic claim process is assumed to follow a Brownian motion with drift. In addition, the insurer is allowed to invest in a risk free asset and n risky assets and to purchase proportion reinsurance. Under the constraint of no shorting, the mean variance portfolio selection problem was studied. The LQ stochastic control method was applied to get the explicit form of the optimal investment strategies and efficient frontier . |
| keywords:HJB equation mean variance criterion efficient frontier LQ stochastic control |
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