哈尔滨商业大学学报（自然科学版）2017，Vol.33Issue(6)：749-754,6.
在部分信息下均值-方差投资组合问题研究
Study on mean-variance investment portfolio under partial information
摘要
Abstract
Mean -variance investment portfolio with liability under partial information was considered.The financial market consists of a risk-free asset and a risky asset with unob-servable Markov-modulated regime switching drift process, by Wonham filter theory and constructing an extended Hamilton-Jacobi -Bellman equations, closed-form time-con-sistent expressions of the equilibrium investment strategy and the corresponding equilibrium value were derived.关键词
均值-方差/Markov调制/广义HJB方程/部分信息Key words
mean-variance/Markov-modulated/extended HJB equations/partial informa-tion分类
数理科学引用本文复制引用
郭婷,刘宣会,李照琪..在部分信息下均值-方差投资组合问题研究[J].哈尔滨商业大学学报（自然科学版）,2017,33(6):749-754,6.
