| LQ理论在参数随机的证券投资组合套期保值中的应用 |
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| 引用本文： | 袁军,杨成.LQ理论在参数随机的证券投资组合套期保值中的应用[J].数学的实践与认识,2008,38(16). |
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| 作者姓名： | 袁军 杨成 |
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| 作者单位： | 1. 上海工程技术大学管理学院,上海,201620
2. 上海财经大学金融学院,上海,200433 |
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| 摘 要： | 在连续时间情形、不考虑交易费用、市场无摩擦假设,以及套期保值准则等条件下,考察了参数随机的证券投资组合中加入未定权益类衍生品形成的最优动态投资策略(u*(t)),并给出了该投资组合的最优模型所对应的黎卡提(Riccati)方程的解的存在性证明.
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| 关 键 词： | LQ理论 最优投资策略 套期保值 黎卡提方程 |
The Applications of LQ Theory to Hedging Security Portfolios with Random Parameters |
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| YUAN Jun,YANG Cheng.The Applications of LQ Theory to Hedging Security Portfolios with Random Parameters[J].Mathematics in Practice and Theory,2008,38(16). |
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| Authors: | YUAN Jun YANG Cheng |
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| Abstract: | Under the assumption of free transaction cost and of no frictional market,This article focuses on optimal dynamic investment strategy(u*(t)) of one kind of investment portfolio with the rule of hedging under the continuous time if fix equity derivatives were added to security portfolio with random coefficient.Then,the article has proved the existence of solution of riccati equation. |
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| Keywords: | LQ theory the control of optimal portfolio hedging riccati equation |
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