【摘要】 本文针对汇率因素,研究了金融市场上的动态投资组合问题,建立了均值-方差意义下的连续时间的最优投资组合模型,其中价格过程是跳跃扩散的不连续价格过程(Weiner过程和Poisson过程)。然后推导了它满足的一个随机哈密顿-雅克比-贝尔曼(Hamilton-Jacobi-Bellman,简称HJB)方程,并且求出了该HJB方程的解,并求出了投资的有效边界。针对安全-首要投资原则,求出了该意义下的最优投资策略。更多还原

【Abstract】 Considering the exchange rate,this paper is concerned with the dynamic portfolio selection in financial market.The optimal investment problem is formulated as a continuous-time mathematical model under mean-variance criterion.These prices processes follow jump-diffusion processes(Weiner process and Poisson process).Then the corresponding Hamilton-Jacobi-Bellman(HJB) equation of the problem is presented and its efficient frontier is obtained.Moreover,the optimal strategy is also derived under safety-first criterion.更多还原