中山大学学报自然科学版 ›› 2011, Vol. 50 ›› Issue (1): 31-33.

• 研究论文 • 上一篇    下一篇

带转移机制且股票价格服从几何Levy过程的连续时间均值-方差投资组合选择

伍慧玲1,李仲飞2   

  1. (1. 中山大学数学与计算科学学院,广东 广州 510275;2. 中山大学岭南(大学)学院,广东 广州 510275)
  • 收稿日期:2010-03-09 修回日期:1900-01-01 出版日期:2011-01-25 发布日期:2011-01-25
  • 通讯作者: 李仲飞

Continuoustime Meanvariance Optimal Portfolio Selection with Regime Switching when Stock Prices Follow Geometric Levy Processes

WU Huiling 1, LI Zhongfei 2   

  1. (1. School of Mathematics and Computational Science, Sun Yatsen University,Guangzhou 510275, China;2. Lingnan (University) College, Sun Yatsen University, Guangzhou 510275, China)
  • Received:2010-03-09 Revised:1900-01-01 Online:2011-01-25 Published:2011-01-25

摘要: 研究了带转移机制且股票价格服从几何Levy过程的均值-方差投资组合选择模型。 用一个连续时间平稳马氏链表示市场所处的状态,文中主要参数,比如资产收益、Levy测度等均依赖于所处的市场状态。 分析了最优投资组合策略的存在性,用动态规划方法得到了最优投资组合策略、最优目标函数和有效前沿。

关键词: 转移机制, 几何Levy过程, 均值-方差模型, 有效前沿

Abstract: A continuoustime meanvariance portfolio selection model when stock prices follow geometric Levy processes is investigated. The primal parameters, such as the interest rate of riskless asset and the Levy measure, depend on the market states modulated by a continuoustime Markov chain. The existence of optimal solutions is analyzed, and the optimal strategy and the efficient frontier of the model in closedform are derived by dynamic programming. 

Key words: regime switching, geometric Levy process, meanvariance model, efficient frontier

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