摘要
当股价受到重大信息冲击时,会出现不连续的跳跃,将股价考虑为服从跳跃-扩散过程.为了研究当股价服从跳跃-扩散过程时,不同效用函数下投资者投资组合的最优策略问题,基于随机微分对策思想,在股票价格服从跳跃-扩散过程时,通过建立投资组合的数学模型,根据Ito公式和泛函变分法,分别采用对数效用函数和幂效用函数研究两人竞争的投资组合优化问题,并得到在各自效用函数下最优策略的表达式,为投资者提供多种投资策略.
When the stock is impacted by the significant information,the share price will be dis-continuous jumps,generally considered following jump-diffusion process.When stock price follows the jump diffusion process,in order to study the optimal strategy of the investors′port-folio under different utility functions,based on the stochastic differential game,the optimal portfolio strategy problem of the two person competition was studied respectively,under the logarithmic utility function and the power utility function by building the mathematical model of the investment portfolio,and using the Ito formula and functional variational method.Then the optimal portfolio strategy expression was obtained respectively under the different utility functions to provide investors with a variety of alternative investment strategies.
出处
《纺织高校基础科学学报》
CAS
2016年第1期39-46,共8页
Basic Sciences Journal of Textile Universities
基金
陕西省教育厅科研计划项目(2013JK0594)
西安工程大学研究生创新基金资助项目(CX2015002)
关键词
随机微分对策
跳跃-扩散过程
对数效用函数
幂效用函数
ITO公式
最优投资组合策略
stochastic differential game
jump-diffusion process
logarithmic utility function
power utility function
Ito formula
optimal portfolio strategy
