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中文摘要：
为了进一步优化投资组合模型,在部分信息框架（仅仅拥有不可交易的风险资产信息）和Knight不确定环境下,区别投资人的含糊和含糊态度,应用半鞅和BSED方程理论研究了＂基差风险模型＂的最优对冲策略。构建了Knight不确定环境下的＂基差风险模型＂,应用倒向随机微分方程将α-极大极小期望效用转化成通常期望效用形式,再应用滤波理论和半鞅理论解出指数效用下的价值过程和最优对冲策略。数值分析结果表明,随着投资环境不确定程度的增加,风险喜好者投资在可交易资产的金额随之增加,投资人拥有的价值急剧减少,而风险厌恶者的最优对冲策略正好相反,其拥有的价值先增后减;对于风险中性者来说,其最优对冲策略和价值过程始终保持不变。
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