摘要
在证券价格存在有界不确定性的假设下，研究了基于最差情况的最优证券投资决策问题．首先，建立了证券投资决策的微分对策模型，然后，证明了该微分对策模型存在唯一的值函数．最后，根据微分对策理论得出了值函数所满足的偏微分方程．
Under the assumption that security price has bounded uncertainty,this paper studies a security investment decision problem with the worst case optimization method.First,a differential game model for security investment decision is established.Then the existence and uniqueness of the value function for the differential game model is verified.Finally,a partial differential equation that is satisfied by the value function is obtained on the basis of the differential game theory.
出处
《系统工程学报》
CSCD
1999年第1期69-72,90,共5页
Journal of Systems Engineering
基金
国家自然科学基金
辽宁省博士启动基金
关键词
证券投资
微分对策
值函数
证券价格
投资决策
security investment,differential game,value function,bounded uncertainty,Isaacs Bellman equation
