【摘要】 当股票价格受到多个重大事件叠加影响时,股价会出现不连续的跳跃,一般可将股票价格考虑为服从Levy过程.基于随机微分对策,建立投资组合优化的数学模型,当股票价格服从Levy过程时,运用Ito-Levy过程的一维Ito公式和泛函变分法,采用对数效用函数,研究两人竞争的投资组合策略问题,运用随机微分对策得到两人竞争的最优投资策略.更多还原

【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 variational method and the logarithm utility function,the optimal investment strategy of the two person competition was obtained by using the stochastic differential game.更多还原