| 允许投资组合条件下概率准则 |
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| 引用本文： | 李银兴,李彩萍.允许投资组合条件下概率准则[J].纯粹数学与应用数学,2003,19(2):185-190. |
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| 作者姓名： | 李银兴 李彩萍 |
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| 作者单位： | 宝鸡文理学院计算机系,宝鸡,721007 |
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| 基金项目： | 陕西省教育厅专项基金资助项目 (0 0 JK0 2 1) |
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| 摘 要： | 概率准则具有一定的现实意义，其投资决策是以期望贴现资产为导向的．本文讨论了完备标准动态金融市场中在允许投资组合条件下的概率准则问题，得到了准则函数，贴现资产过程以及最优允许投资组合过程的解析表达式．期望贴现资产越大，准则函数越小。
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| 关 键 词： | 概率准则 准则函数 贴现资产过程 最优允许投资组合过程 |
| 文章编号： | 1008-5513(2003)02-0185-06 |
| 修稿时间： | 2002年4月9日 |
Probability criterion with admissible portfolio |
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| LI Yin-xing,LI Cai-ping.Probability criterion with admissible portfolio[J].Pure and Applied Mathematics,2003,19(2):185-190. |
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| Authors: | LI Yin-xing LI Cai-ping |
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| Abstract: | Probability criterion has its practical significance, its investment decision-making is guided by the expected discounted wealth at terminal time.In a complete, standard financial market with admissible portfolio, this paper probes into the investment decision-making with probability criterion.The explicit representation of the maximum of probability criterion function and the discounted wealth process and the optimal admissible portfolio process are obtained. The greater the expected discounted wealth at terminal time, the smaller the probability criterion function. |
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| Keywords: | probability criterion probability criterion function discounted wealth process optimal admissible portfolio process |
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