摘要
介绍不同信息结构对组合投资的影响并给出各种模型的具体算例。首先介绍常见的均值 -方差模型 ,虽然它对资产收益率沿时间的运动信息没有作更多结构上的假设 ,但当资产的选择种类较多时 ,可能会涉及到高阶矩阵的求逆等问题 ;其次分析了随机最优控制模型 ,它经常要利用到HJB方程 ,可能涉及偏微分方程及矩阵Riccati方程的求解。最后探讨的是微分对策模型 ,它在不同信息结构下均衡解的存在性。
This paper gives a brief presentation of the influence of different information structures on portfolio selection and some simple examples to demonstrate their basic algorithms. The first is the familiar mean_variance model. The model does not need more hypotheses on the motion of the asset price along the full continuous time axis,but sometimes many unanticipated computation problems may be involved because of the difficulty in computing the inverse of some matrices with high dimension. The second is the stochastic optimal control model. It is to solve a stochastic optimal control problem,which is often related to Hamilton_Jacobi_Bellman eqution.It results in solving partial differential equations of Riccati matrix differential equations. Their closed_form solutions are usually very hard to obtain. The last is the differential game model. The existence,uniqueness,and the computation for its equilibrium solution are all very difficult mathematical problems.
出处
《重庆大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2002年第6期127-131,共5页
Journal of Chongqing University
基金
国家自然科学基金 (79970 0 73 )
中国博士后科学基金资助
关键词
组合投资
信息结构
微分对策
portfolio selection
information structures
differential game
