西安工程大学学报2012，Vol.26Issue(5)：672-676,5.
不同效用函数下考虑部分信息的投资组合问题
The portfoilo problem with partial information under different utility function
摘要
Abstract
By assuming that stock prices not only by Brownian motion drive, but also the effects of parameters by markov modulation, partial information of the investment portfolio model was established. By using nonlinear filtering technology and the method of stochastic control, the optimal investment strategies about index utility function and logarithmic utility function are obtained.关键词
部分信息/投资组合/马尔科夫调制参数/非线性滤波/HJB方程Key words
incomplete information!portfolio/Markov modulation parameters/ nonlinear filtering/ HJB e-quation分类
数理科学引用本文复制引用
张金燕,刘宣会,张柯妮..不同效用函数下考虑部分信息的投资组合问题[J].西安工程大学学报,2012,26(5):672-676,5.基金项目
陕西省教育厅自然科学研究项目(11JK0499) （11JK0499）
