| 随机参数和随机资金流环境下基于二次效用函数的投资组合优化 |
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| 引用本文： | 常浩,荣喜民.随机参数和随机资金流环境下基于二次效用函数的投资组合优化[J].应用数学学报,2011,34(4). |
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| 作者姓名： | 常浩 荣喜民 |
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| 作者单位： | 1. 天津大学管理学院,天津 300072;天津工业大学数学系,天津 300160
2. 天津大学理学院,天津,300072 |
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| 基金项目： | 天津市高等学校科技发展基金(20100821); 天津市自然科学基金(09JCYBLJC01800;075CYBJC05200)资助项目 |
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| 摘 要： | 研究完全市场下基于二次效用最大化的带有随机资金流的动态投资组合选择问题,其中假设无风险利率、股票收益率和波动率矩阵都是一致有界随机过程.通过应用线性二次控制方法和向后随机微分方程理论得到了最优投资组合的解析表达式.
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| 关 键 词： | 随机参数 随机资金流 二次效用最大化 向后随机微分方程 线性二次控制 最优投资组合 |
Portfolio Optimization with Random Parameters and Stochastic Cash Flow for Quadratic Utility Maximization |
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| CHANG HAO,RONG XIMIN.Portfolio Optimization with Random Parameters and Stochastic Cash Flow for Quadratic Utility Maximization[J].Acta Mathematicae Applicatae Sinica,2011,34(4). |
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| Authors: | CHANG HAO RONG XIMIN |
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| Institution: | CHANG Hao (School of Management,Tianjin University,Tianjin 300072) (Department of Mathematics,Tianjin Polytechnic University,Tianjin 300160) RONG Ximin (School of Science,Tianjin 300072) |
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| Abstract: | This paper is concerned with a dynamic portfolio selection problem with stochastic cash flow in a complete financial market for quadratic utility maximization,in which interest rate,appreciation rates and volatility coefficients are allowed to be uniformly bounded stochastic processes.The optimal portfolio in the explicit forms is constructed via linear quadratic control technique and results from backward stochastic differential equations(BSDEs) theory. |
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| Keywords: | random parameters stochastic cash flow quadratic utility maximization backward stochastic differential equations linear quadratic control optimal portfolio |
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