摘要
研究了基于风险价值约束的动态均值-方差项目投资组合的数学模型,该模型是控制带约束的随机线性二次型(LQ)控制问题.在讨论该随机LQ控制问题的解之后,给出投资组合动态数学模型对应的随机哈密顿-雅克比-贝尔曼方程的解,得出了有效边界和最佳策略,讨论了风险价值约束的影响.最后,针对某油田勘探开发项目的实际情况,应用上述结论求出该实例的解,并讨论了风险价值约束发挥的作用.
Dynamic mean-variance portfolio selection under a value-at-risk（VaR） constraint is concerned.The model is formulated as a stochastic linear-quadratic（LQ） control problem.After solving the stochastic LQ control problem,the solution of the corresponding Hamilton-Jacobi-Bellman equation of the problem is demonstrated.The efficient frontier and optimal strategies of the mean-variance problem are also provided.In addition,the effect of VaR constraint is discussed.Finally,an example of portfolio about oilfield exploitation and development is presented.The result of the problem is obtained by using the above method.The role of VaR constraint is illustrated.
出处
《控制与决策》
EI
CSCD
北大核心
2007年第2期169-173,共5页
Control and Decision
基金
国家973计划项目(2004CB318000)
