哈尔滨商业大学学报（自然科学版）2017，Vol.33Issue(1)：107-112,6.
股价服从Levy过程的投资组合优化策略研究
Research on investment portfolio optimization strategy of stock prices obey Levy process
摘要
Abstract
When stock price is impacted by many major things, the stock price will not jump continuously.Generally, the price of stock is considered to obey the Levy process.Based on the stochastic differential game, the mathematical model of investment portfolio optimization was established.In the course of stock price obeying Levy, the research on the investment portfolio strategy was studied by using the Ito formula of Ito-Levy process, functional varia-tional method and the logarithm utility function, the optimal investment strategy of the two person competition was obtained by using the stochastic differential game.关键词
Levy过程/随机微分对策/Ito公式/对数效用函数/最优策略Key words
Levy process/stochastic differential games/Ito formula/logarithmic utility function/optimal strategy分类
数理科学引用本文复制引用
张夏洁,刘宣会,贾丹琴..股价服从Levy过程的投资组合优化策略研究[J].哈尔滨商业大学学报（自然科学版）,2017,33(1):107-112,6.基金项目
陕西省教育厅科研计划项目基金(2013JK0594) （2013JK0594）
西安工程大学研究生创新基金(CX2015002) （CX2015002）
