推广马尔柯夫调制市场上的期望-方差组合选择

曲靖师范学院学报 ›› 2018, Vol. 37 ›› Issue (6): 5-8.

推广马尔柯夫调制市场上的期望-方差组合选择

刘琦,杨鹏,马雍鑫,梁晓光

西京学院理学院, 陕西西安 710123

收稿日期:2018-09-03 出版日期:2018-11-26
作者简介:刘琦,西京学院理学院讲师,主要从事风险投资与评估研究.
基金资助:
西京学院科研基金项目“基于风险评估的土地问题研究”(XJ140220).

Mean-Variance Portfolio Selection in the Enlarged Markov-Modulated Market

Liu Qi, Yang Peng, Ma Yongxin, Liang Xiaoguang

School of Science,Xijing University, Xi’an Shanxi 710123, China

Received:2018-09-03 Published:2018-11-26

摘要/Abstract

摘要： 研究了连续时间上的期望-方差组合选择问题.目标是,在终值财富的期望等于d(d∈R) 的限制下,使终值财富的方差最小.该问题是随机最优的LQ 线性控制问题,应用随机控制的理论解决该问题. 获得了最优的投资策略和有效的均值-方差边界,通过一个例子解释了得到的结果.

关键词: 连续时间, 均值-方差组合选择, 推广马尔柯夫调制市场, 有效边界, HJB 方程

Abstract: This paper is concerned with Mean-Variance portfolio selection problem in a continuoustime enlarged Markov-modulated market.The object is to minimize the variance of the terminal wealth under the constraint that terminal wealth is equivalent to d,( (d∈R) ).The problem is formulated as a stochastic optimal linear-quadratic (LQ) control problem.We apply stochastic theory to solve this problem.Efficient investment strategies as well as the mean-variance efficient frontier are then analytically derived. An example illustrating these results is also presented.

Key words: continuous time, mean-variance portfolio selection, enlargement of Markovmodulated market, efficient frontier, HJB equation

中图分类号:

O213

刘琦,杨鹏,马雍鑫,梁晓光. 推广马尔柯夫调制市场上的期望-方差组合选择[J]. 曲靖师范学院学报, 2018, 37(6): 5-8.

Liu Qi, Yang Peng, Ma Yongxin, Liang Xiaoguang. Mean-Variance Portfolio Selection in the Enlarged Markov-Modulated Market[J]. JOURNAL OF QUJING NORMAL UNIVERSITY, 2018, 37(6): 5-8.