经济数学2016，Vol.33Issue(1)：25-29,5.
均值方差准则下具有负债的随机微分博弈
Stochastic Differential Games under Mean-variance Criterion with Liability
摘要
Abstract
This paper studied the stochastic differential games with liability under mean-variance criterion.Assuming that the market is the worst and the constraint that terminal wealth is equivalent to k ,this paper obtained the optimal invest-ment strategies,which minimized the variance of the terminal wealth,i.e.the mean-variance portfolio selection problem with stochastic differential games.Through applying linear-quadratic theory to solve this problem,the optimal investment strategies and optimal market strategies as well as the mean-variance efficient frontier were then analytically derived.And through analy-zing the results,a further explanation on the economy was given.When facing liability and financial market downturn,this pa-per can guide financial company to select the appropriate investment strategy to gain some wealth meanwhile minimizing the risk.关键词
均值/方差准则/随机微分博弈/线性二次控制/负债Key words
mean-variance criterion/stochastic differential games/linear-quadratic control/liability分类
管理科学引用本文复制引用
杨鹏,王震,孙卫..均值方差准则下具有负债的随机微分博弈[J].经济数学,2016,33(1):25-29,5.基金项目
陕西省教育厅科研计划项目资助(15JK2183) （15JK2183）
