摘要
在分数布朗运动环境下,讨论了单资产多噪声情形下的最优投资组合问题.假定标的资产价格遵循多维分数布朗运动驱动的常系数随机微分方程,在给定效用函数分别为幂函数和对数效用函数条件下,得到了最优投资组合问题的显式解.
We discuss the optimal portfolio problem for the single asset and multi-noise in the fractional Brownian motion environment. Assume that the asset price takes the stochastic differential equation with constant coefficient and driven by the multi-dimensional fractional Brownian motion, we gain the explicit solutions of the optimal portfolio problem when the utility function is the power function or the logarithm function.
出处
《大学数学》
2009年第6期91-95,共5页
College Mathematics
基金
陕西省教育厅自然科学专项基金资助项目(09JK464)
关键词
分数布朗运动
最优投资组合
效用函数
fractional Brownian motion
optimal portfolio
utility function
