带负债的连续时间最优资产组合选择

谢树香;李仲飞

系统科学与数学 ›› 2007, Vol. 27 ›› Issue (6) : 801-810.

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系统科学与数学 ›› 2007, Vol. 27 ›› Issue (6) : 801-810. DOI: 10.12341/jssms10020
论文

带负债的连续时间最优资产组合选择

    谢树香(1),李仲飞(2)
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Continuous-Time Optimal Portfolio Selection with Liability

    Xie Shuxiang(1),Li Zhongfei(2)
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摘要

构造了一个带外生负债的连续时间均值-方差最优投资组合选择模型. 假定风险资产价格的演变服从
几何布朗运动, 累积负债服从带漂移的布朗运动, 并且市场系数恒为常数, 借助随机LQ控制方法得到相应的均值-方差优化问题的最优策略和有效边界.

Abstract

In the paper a continuous-time mean-variance portfolio selection model with liability is established. Under the assumption that the price of the risky asset follows a geometric Brownian motion and the liability evolves according to a Brownian motion with drift, all the market coefficients are assumed to be
constants, we derive the optimal strategy and efficient frontier in closed forms for the mean-variance model by use of general stochastic LQ technique.

关键词

投资组合 / 负债 / 连续时间 / M-V模型 / 随机LQ控制.

Key words

Portfolio / liability / continuous-time / M-V model / stochastic LQ control.

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谢树香 , 李仲飞. 带负债的连续时间最优资产组合选择. 系统科学与数学, 2007, 27(6): 801-810. https://doi.org/10.12341/jssms10020
Xie Shuxiang , Li Zhongfei. Continuous-Time Optimal Portfolio Selection with Liability. Journal of Systems Science and Mathematical Sciences, 2007, 27(6): 801-810 https://doi.org/10.12341/jssms10020
中图分类号： 91B28    91B62    49N10   
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