摘要
研究了借款利率大于债券利率同时投资策略受限制情况下的最优投资问题,证明了最优投资策略的存在性.
Portfolio optimization under constrains and with higher interest rate for borrowing than for lending is researched , and the existence condition of portfolio optimization is presented.
出处
《中国纺织大学学报》
CSCD
1999年第4期12-15,23,共5页
Journal of China Textile University
关键词
股票
债券
投资策略
鞅
借款利率
债券利率
portfolios
martingaie
utility function
stochastic differential equations
