摘要
考察当存在一个风险约束时的连续时间的最优投资组合问题,提供最优投资组合中控制风险的一种方法和实践管理者对市场风险控制的必要条件.一个风险约束是指由n个风险资产加上一个无风险资产且风险随时间是连续的,问题化为一段时间内约束效用最大化问题.利用动态规划技巧推导Hamilton-Jacobi-Bellman方程,且利用Lagrange乘子法处理约束条件.
This paper looks at the continuous-time optimal portfolio problem when a value-at-risk constraint is imposed.This work provides a way to control risks in the optimal portfolio and to fulfil the requirement of regulators on market risks.The value-at-risk constraint is derived for n risky assets plus a risk-free asset and is imposed continuously over time.The problem is formulated as a constrained utility maximization problem over a period of time.The dynamic programming technique is applied to derive the Hamilton Jacobi Bellman equation and the method of Lagrange multiplier is used to tackle the constraint.
出处
《安徽大学学报（自然科学版）》
CAS
北大核心
2007年第5期9-11,共3页
Journal of Anhui University(Natural Science Edition)
基金
国家自然科学基金资助项目(60663003)
上海市科委重点基金资助项目(02DJ14063)
关键词
最优投资组合
风险值
动态规划
连续时间
optimal portfolio
value-at-risk
dynamic programming
continuous-time
