| 随机波动率模型下的最优证券组合选择 |
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| 引用本文： | 刘金山,李楚霖,胡适耕. 随机波动率模型下的最优证券组合选择[J]. 数学的实践与认识, 2003, 33(5): 30-33 |
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| 作者姓名： | 刘金山 李楚霖 胡适耕 |
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| 作者单位： | 华中科技大学数学系,武汉,430074 |
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| 摘 要： | 在证券价格服从随机波动过程下 ,研究了自融资策略下的最优证券组合问题 ,得到了相应的最优投资组合及其效用的解析表达式 .
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| 关 键 词： | 自融资 随机波动 HJB方程 |
| 修稿时间： | 2001-12-07 |
Optimal Portfolio Choice under a Stochastic Volatility Model |
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| LIU Jin-shan,LI Chu-lin,HU Shi-geng. Optimal Portfolio Choice under a Stochastic Volatility Model[J]. Mathematics in Practice and Theory, 2003, 33(5): 30-33 |
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| Authors: | LIU Jin-shan LI Chu-lin HU Shi-geng |
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| Abstract: | A stochastic volatility model is established. Under a condition of utility maximum, the problem of optimal portfolio choice is solved with the self-financing strategies. The analytical formation of the expected utility is obtained. |
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| Keywords: | self-financing stochastic volatility hamilton-jacobin-bellman equation |
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