摘要
在有重大事件出现时,股价会出现不连续的跳跃,这时一般将股票价格考虑为跳跃-扩散模型。本文基于随机微分对策的思想,建立两人竞争的投资组合优化模型,在股票价格服从跳跃-扩散过程时,运用Ito公式和泛函变分法,研究在对数效用函数下投资竞争的最优投资组合策略问题,并得到显式解。
When the important things occurs,the stock price will be discontinuous jumps and generally be considered as jump-diffusion model. Based on the idea of stochastic differential game,a portfolio optimization model is established with two people competition. While the stock price subject to the jump-diffusion process,the Ito formula and functional variational method are used to study the issues of optimal portfolio strategy with a investment competition for the logarithmic utility function and get explicit solutions.
出处
《世界科技研究与发展》
CSCD
2015年第5期584-587,共4页
World Sci-Tech R&D
基金
陕西省教育厅科研计划项目基金(2013JK0594)
西安工程大学研究生创新基金(CX2015002)资助
关键词
随机微分对策
跳跃-扩散过程
投资组合策略
效用函数
ITO公式
泛函变分法
stochastic differential games
jump-diffusion process
portfolio strategy
utility function
Ito formula
functional variational method
