数学杂志2012，Vol.32Issue(4)：693-700,8.
部分信息下资产收益率发生紊乱的最优投资策略
OPTIMAL TRADING STRATEGY UNDER DISORDERED ASSET RETURN AND PARTIAL INFORMATION
摘要
Abstract
This paper studies the problem of maximizing the expected exponential utility of terminal net wealth, when the asset return is disordered and the financial market has non-zero interest rate under partial information. By using semimartingale and backward stochastic differential equation (BSDE), we obtain the explicit expressions of optimal trading strategy as well as the value process, which extend the results of optimal portfolio in the general framework.关键词
倒向随机微分方程/紊乱问题/鞅/交易策略/部分信息Key words
backward stochastic differential equation/ disorder problem/ martingale/trading strategy/ partial information分类
数理科学引用本文复制引用
李娟,费为银,石学芹,李钰..部分信息下资产收益率发生紊乱的最优投资策略[J].数学杂志,2012,32(4):693-700,8.基金项目
国家自然科学基金资助(10826098) （10826098）
安徽省自然科学基金资助(090416225) （090416225）
安徽省高校自然科学基金资助(KJ2010A037). （KJ2010A037）
