摘要
为了研究能使投资于多种风险资产的风险最小或收益最大的最优组合投资问题,首先给出了市场的假设条件,根据投资准则建立一个多目标二次规划模型,再利用统计出来的相关数据将此转化为两个单目标规划问题,利用其最大效用函数是随机控制问题对应的HJB方程,给出最优投资策略的线性方程组,所得解即为所寻求的最优组合投资方案.通过实例表明此模型在实际的投资组合中有重大的现实意义.
To study the optimization problem of portfolio that investing in a variety of risky assets with the greatest securities portfolio and the smallest risks. Given the market assumptions, multiobjective second programming model is established based on investment criteria, which is exchanged into two single-objective programmings by using the related statistical data then. Owing to the reason that its best utility functions is random control counterpart equation, the linear equations of the optimal investment strategy are presented and its solutions are the optimal portfolio strategies. Finally an example is given to illustrate that the new model in the practical portfolio problem is of greatest significance.
出处
《西南民族大学学报（自然科学版）》
CAS
2009年第3期579-582,共4页
Journal of Southwest Minzu University(Natural Science Edition)
基金
国家自然科学基金项目(40271037)
