摘要
在部分信息下,考虑带有负债的均值-方差投资组合问题。运用卡尔曼滤波理论和构造广义Hamilton-Jacobi-Bellman方程方法,得到闭形式的均衡投资策略及值函数。并给出负债和股价之间具有相关性时,负债对均衡投资策略的影响。
Mean-variance investment portfolio with liability under partial information is considered. By Kalman filter theory and constructing an extended Hamilton-Jacobi-Bellman equations,closed-form expressions of the equilibrium investment strategy and the correspondig equilibrium value function under partial information with liability are derived. When the liability and stock price are related,liability influences the equilibrium investment strategy.
作者
郭婷
刘宣会
李照琪
GUO Ting;LIU Xuanhui;LI Zhaoqi(School of Science,Xi'an Polytechnic University,Xi'an 710048)
出处
《计算机与数字工程》
2019年第6期1314-1319,共6页
Computer & Digital Engineering
