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时滞均值回复θ过程Caratheodory近似解的强收敛性
  • ISSN号：1006-8341
  • 期刊名称：纺织高校基础科学学报
  • 时间：2011
  • 页码：159-164
  • 分类：O211.6[理学—概率论与数理统计;理学—数学]
  • 作者机构：东华大学理学院,上海201620
  • 相关基金：国家自然科学基金资助项目（60974030）
  • 相关项目：金融工程中随机微分方程高阶数值方法的稳定性分析
作者： 张春赛|胡良剑|
关键词： 投资组合选择, 跳扩散过程, 资产负债模型, 随机线性二次型控制, 有效前沿, portfolio selection, jump-diffusion process, asset-liability model, stochastic linear quadratic control, efficient frontier
中文摘要：

构造了一个基于跳扩散带负债的最优资产选择模型,假设风险资产价格和累积负债的变动均由布朗运动与Poisson跳所驱动,利用均值-方差分析方法和随机线性二次型控制理论求出最优投资组合策略和有效前沿.

英文摘要：

The optimal portfolio selection model with liability management and jump-diffusion processes is constructed.Assuming that the risk asset prices and the accumulated liabilities are driven by the Brownian motion and Poisson jumps,mean-variance analysis and stochastic linear quadratic control theory are used to obtain the optimal portfolio strategy and the efficient frontier.

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期刊信息
  • 《纺织高校基础科学学报》
  • 中国科技核心期刊
  • 主管单位:陕西省教育厅
  • 主办单位:西安工程大学 全国纺织教育学会
  • 主编：高勇
  • 地址：西安市金花南路19号179信箱
  • 邮编：710048
  • 邮箱：xuebao699@163.com
  • 电话：029-62779061 62779060
  • 国际标准刊号：ISSN：1006-8341
  • 国内统一刊号：ISSN：61-1296/TS
  • 邮发代号:
  • 获奖情况:
  • 1997年7月获陕西省教育厅、省新闻出版局优秀期刊...,陕西省优秀科技期刊,陕西省高校优秀期刊
  • 国内外数据库收录:
  • 美国化学文摘（网络版）,波兰哥白尼索引,德国数学文摘,荷兰文摘与引文数据库,美国剑桥科学文摘,英国世界纺织文摘,中国中国科技核心期刊
  • 被引量:2230