具有交易费用和马氏调制的均值-方差组合选择
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引用本文:王献锋1,杨鹏1,林祥2.具有交易费用和马氏调制的均值-方差组合选择[J].经济数学,2013,(2):7-11
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作者单位
王献锋1,杨鹏1,林祥2 (1.西京学院 基础部, 陕西 西安710123
2.中南大学 数学与统计学院湖南 长沙410075) 
中文摘要:研究了均值-方差准则下,最优投资组合选择问题.投资者为了增加财富它可以在金融市场上投资.金融市场由一个无风险资产和n个带跳的风险资产组成,并假设金融市场具有马氏调制,买卖风险资产时,考虑交易费用.目标是,在终值财富的均值等于d的限制下,使终值财富的方差最小,即均值-方差组合选择问题.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边界.
中文关键词:均值-方差准则  投资组合选择  马氏链  交易费用
 
Mean-Variance Portfolio Selection with Markov-Switching and Transaction Costs
Abstract:Under mean-variance criterion,we consider optimal investment portfolio selection problem for investor. The finance market is composed of a risk-free asset and n risky asset with jump, and we assume finance market has Markov-switching.When purchasing risky asset,we assume there exist transaction costs. Our main goal is to minimize the variance of the terminal wealth under the constraint that terminal wealth is equivalent to d, that is mean-variance portfolio selection problem.We apply stochastic control theory to solve this problem, and the efficient investment strategies as well as the mean-variance efficient frontier are then analytically derived.
keywords:Mean-variance criterion  investment portfolio selection  Markov chain  transaction costs
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