计算机与数字工程2019，Vol.47Issue(6)：1314-1319,6.DOI:10.3969/j.issn.1672-9722.2019.06.007
部分信息下带有负债的均值-方差投资组合问题研究
Mean-variance Investment Portfolio Study Under Partial Information with Liability
摘要
Abstract
Mean-variance investment portfolio with liability under partial information is considered. By Kalman filter theory and constructing an extended Hamilton-Jacobi-Bellman equations,closed-form expressions of the equilibrium investment strategy and the correspondig equilibrium value function under partial information with liability are derived. When the liability and stock price are related,liability influences the equilibrium investment strategy.关键词
Levy过程/均值-方差/广义HJB方程/部分信息Key words
Levy process/mean-variance/extended HJB equations/partial information分类
数理科学引用本文复制引用
郭婷,刘宣会,李照琪..部分信息下带有负债的均值-方差投资组合问题研究[J].计算机与数字工程,2019,47(6):1314-1319,6.
