纺织高校基础科学学报2016，Vol.29Issue(1)：39-46,8.DOI:10.13338/j.issn.1006-8341.2016.01.007
不同效用函数下的最优投资组合策略
The optimal portfolio strategy under different utility functions
摘要
Abstract
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.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Key words
stochastic differential game/jump-diffusion process/logarithmic utility function/power utility function/Ito formula/optimal portfolio strategy分类
数理科学引用本文复制引用
张夏洁,刘宣会,贾丹琴..不同效用函数下的最优投资组合策略[J].纺织高校基础科学学报,2016,29(1):39-46,8.基金项目
陕西省教育厅科研计划项目(2013JK0594) （2013JK0594）
西安工程大学研究生创新基金资助项目(CX2015002) （CX2015002）
