| 跳扩散市场投资组合研究 |
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| 引用本文：罗琰,杨招军,张维.跳扩散市场投资组合研究[J].经济数学,2012,(2):45-51 |
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| 中文摘要:研究了连续时间动态均值-方差投资组合选择问题.假设风险资产价格服从跳跃-扩散过程且具有卖空约束.投资者的目标是在给定期望终止时刻财富条件下，最小化终止时刻财富的方差.通过求解模型相应的Hamilton-Jacobi-Bellmen方程，得到了最优投资策略及有效前沿的显示解.结果显示，风险资产的卖空约束及价格过程的跳跃因素对最优投资策略及有效前沿的是不可忽略的. |
| 中文关键词:均值-方差 有效前沿 跳跃-扩散 卖空约束 Hamilton-Jacobi-Bellmen方程 |
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| Study of Portfolio in a Jump-diffusion Market |
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| Abstract:Supposing that the price processes of risky assets satisfy jump-diffusion processes with no-shorting constraints，the problem of continuous-time dynamic mean-variance portfolio was studired. The investor’s aim is to minimise the variance of the terminal wealth given the expected terminal wealth. We obtained the explicit expressions of optimal strategies and efficient frontiers by solving the Hamilton-Jacobi-Bellmen equation corresponding to the model.The results indicate that the influence of no-shorting constraints and jump of risky assets on optimal investment strategies and efficient frontier should not be ignored. |
| keywords:mean-variance efficient frontier jump-diffusion no-shorting constraints HJB equation |
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