摘要
本文主要研究目标是连续时间金融理论中的动态资产优化配置问题,即投资者投资于股票和债券,在连续交易,无交易费和无套利假设下选择投资组合使投资者最终时间财富的效用达到最大。本文将从研究静态资产优化配置问题着手,考虑在资产价格是跳扩散模型的不完全市场下,静、动态资产优化配置等价的充分必要条件。我们的分析假定股票价格为带跳的扩散过程。
A classic dynamic asset allocation problem optimizes the expected final-time utility of wealth for an individual, who can invest in a risky stock and a risk-free bond,trading continuously in time.This paper examines the question: when are the static and dynamic approaches exactly equivalent in an incomplete market?We give an easily-tested necessary and sufficient condition.Our analysis assumes that the stock follows a diffusion process with a jump.
出处
《中国管理科学》
CSSCI
2008年第S1期293-297,共5页
Chinese Journal of Management Science
基金
National Basic Rsearch program of China(973 Program
2007CB814901)
