| LQ理论在一类随机参数的跨国资产投资组合优化决策中的应用 |
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| 引用本文： | 袁军,杨成.LQ理论在一类随机参数的跨国资产投资组合优化决策中的应用[J].系统科学与数学,2011,31(4):440-447. |
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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. 西部证券股份有限公司上海第一分公司,上海,200120 |
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| 基金项目： | 上海市培养优秀青年教师科研专项基金(gjd08002); 上海工程技术大学科研启动基金(A-0501-10-002)资助课题 |
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| 摘 要： | 考察在连续时间情形下,一类随机系数的跨国(主要研究两国之间)证券投资组合在均值-方差(M-V)优化准则下的最优投资策略(u*(t)),并进一步对该投资组合的有效边界进行研究,得出均值和方差之间的具体表达式.
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| 关 键 词： | 均值-方差 随机系数 最优投资策略 有效边界 黎卡提方程 |
GLOBAL-ASSET PORTFOLIO OPTIMIZATION DECISION WITH RANDOM PARAMETERS UNDER THE FRAMEWORK OF LQ THEORY |
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| YUAN Jun,YANG Cheng.GLOBAL-ASSET PORTFOLIO OPTIMIZATION DECISION WITH RANDOM PARAMETERS UNDER THE FRAMEWORK OF LQ THEORY[J].Journal of Systems Science and Mathematical Sciences,2011,31(4):440-447. |
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| Authors: | YUAN Jun YANG Cheng |
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| Institution: | YUAN Jun (School of Management,Shanghai University of Engineering Science,Shanghai 201620) YANG Cheng (Shanghai First Branch,West Securities Co.,Ltd,Shanghai 200120) |
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| Abstract: | This article focuses on optimal investment strategy of one kind of multinational security portfolio with the optimization rule of mean-variation under the continuous time and on the research of efficient frontier of investment portfolio.Therefore,the article comes to the conclusion of specific expression of the relation between mean and variation. |
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| Keywords: | Mean-variance stochastic coefficients optimal invsetment strategy efficient frontier Riccati equation |
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