中文摘要：

以几何布朗运动和泊松过程为基础,建立了一个可以灵活描述环境不确定性的复合随机过程,在此基础上,运用随机最优控制模型对资产配置问题进行了求解。研究结论表明：①如果稀有事件可以运用泊松过程描述,那么资源配置计划可以运用不动点定理求解;②如果某种资产或某个部门面临的稀有事件会导致其价值降低,那么稀有事件不仅仅会影响在这种资产或部门上的资源投入,还会影响到与这种资产或部门相关的其他资产或部门的资源投入。最后,就金融机构和制造业企业的资源配置问题进行了讨论。结果表明,对于金融机构而言灵活的描述环境的不确定性可以提高资产配置的效率,制造业企业可以通过灵活的资产配置策略有效的对不确定性做出积极反应。

英文摘要：

Based on a compound random process including geometric Brownian motion and Poisson process,we build a model which is able to describe the environmental uncertainty more flexible.Then,we use a stochastic optimal control model to address the issue of resource allocation.Our study indicates：（1） if rare events can be described using a Poisson process,then the fixed-point theorem can be used to solve resource allocation problem;（2） if a certain asset or a rare event faced by a department lead to a reduced value,then the rare event will not only affect investment in this asset or department but also have ramifications for investment in related assets or departments.Then we briefly discuss the resource allocation problems in financial institutions and manufacturing enterprises.The results show that the uncertain,flexible environmental of financial institutions can improve the efficiency of asset allocation.Manufacturing companies respond effectively and positively to such uncertainty through a flexible asset allocation strategy.