中文摘要：

对于有限时间区间的（d＋1）种资产市场模型，在模型系数为随机过程的条件下，根据均值一方差准则讨论了风险资产市场中的投资组合问题．利用K·Ito公式和倒向随机微分方程理论，建立了投资组合过程与财富过程之间的随机控制的倒向随机微分方程模型，得到了初始财富及最终财富之间的关系式，证明了投资组合的存在惟一性，在均值一方差准则下给出了有效投资组合的解析表达式，并得到了有效投资组合下的双曲线型有效前沿．

英文摘要：

Under the continuous time assets market model with finite time horizon, and the condition that all coefficients in model are stochastic processes, the decision of investment portfolio selection had been studied. By using formula and backward stochastic differential equation＇s theory, on the relation of investment portfolio processes, fortune processes, the backward stochastic differential equation model for stochastic control problem had been established, the relation between the prime fortune process and the end-all fortune process had been proposed, the existence and uniqueness of investment portfolio had been proved, and the formula for investment portfolio had been arrived. On the setting of mean-variance portfolio selection, we obtained the formula of optimal efficient investment portfolio. Furthermore, the mean-variance efficient frontier is obtained explicitly in the form of parameter.