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随机波动率模型下的最优证券组合选择 被引量：2

Optimal Portfolio Choice under a Stochastic Volatility Model
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摘要 在证券价格服从随机波动过程下 ,研究了自融资策略下的最优证券组合问题 ,得到了相应的最优投资组合及其效用的解析表达式 . A stochastic volatility model is established. Under a condition of utility maximum, the problem of optimal portfolio choice is solved with the self-financing strategies. The analytical formation of the expected utility is obtained.
作者 刘金山 李楚霖 胡适耕
机构地区 华中科技大学数学系
出处 《数学的实践与认识》 CSCD 北大核心 2003年第5期30-33,共4页 Mathematics in Practice and Theory
关键词 随机波动率模型 最优证券组合 几何布朗运动 股票价格 效用函数 最优投资策略 随机微分方程 self-financing stochastic volatility hamilton-jacobin-bellman equation
分类号 F224.3 [经济管理—国民经济]
  • 相关文献

参考文献7

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同被引文献33

  • 1荣喜民,武丹丹,张奎廷.基于均值-VaR的投资组合最优化[J].数理统计与管理,2005,24(5):96-103. 被引量：23
  • 2Arditti F D. Risk and the required return on equity [J]. Journal of Finance, 1967, 22(1): 19-36.
  • 3Arditti F D. Another look at mutual fund performance [J]. Journal of Financial and Quantitative analysis, 1971, 6:909 912.
  • 4Samuelson P. The fundamental approximation of theorem of portfolio analysis in terms of means, variances, and higher moments [J]. Review of Economic studies, 1970, 37: 537-542.
  • 5Rubinstein M. The fundamental theorem of parameter preference security valuation [J]. Journal of Financial and Quantitative analysis, 1973, 8: 61-69.
  • 6Hanoch G and Levy H. Efficient portfolio selection with quadratic and cubic utility [J]. Journal of Business, 1970, 43: 181-289.
  • 7Kou S G. A jump-diffusion model for option pricing [J]. Management Science, 2002, 48(8): 1086-1101.
  • 8Chacko G and Viceira L M. Spectral GMM estimation of continuous-time processes [J]. Journal of Econometrics, 2003, 116:259 292.
  • 9Chacko G and Viceira L M. Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets [J]. Review of Financial Studies, 2005, 18(4): 1369-1402.
  • 10Han Y F. Asset allocation with a high dimensional latent factor stochastic volatility model [J]. Review of Financial Studies, 2006, 19(1): 237-271.

引证文献2

二级引证文献10

数学的实践与认识
2003年 第5期

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