摘要
建立简单的衍生证券投资组合模型,利用HJB方程,讨论了在一定假设条件下衍生证券最优投资问题,得到相关投资策略与无风险投资收益率及风险投资期望收益率之间定量关系。并利用得到的定量关系式,讨论了投资策略与无风险收益率及风险投资期望收益率之间定性关系;同时也说明了人民币降息对国民经济的调控作用。
The simple portfolio investment model is given, with the HJB equation. The optimal portfolio investment problem is discussed under some given supposition, the quantitative relations are gotten between the investment strategies and riskless investment income rate and risk investment income rate are gotten. And with the quantitative relations, we study the qualitative relations between the investment strategies and riskless investment income rate and risk investment income rate. This also accounts for the effect of the falling interest rate of RMB on the national economy.
出处
《重庆大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2003年第12期119-121,共3页
Journal of Chongqing University
基金
重庆邮电学院青年教师基金资助项目(A2003-07)
