【摘要】 在部分信息下,研究带有负债的均值-方差投资组合问题.假定金融市场是由一个无风险资产和风险资产组成,风险资产的漂移项为不可观测的Markov调制过程,负债满足伊藤过程.运用Wonham滤波和广义Hamilton-Jacobi-Bellman方程的方法,得到闭形式的时间齐次的均衡投资策略及相应的值函数.更多还原

【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 unobservable Markov-modulated regime switching drift process,by Wonham filter theory and constructing an extended Hamilton-Jacobi-Bellman equations,closed-form time-consistent expressions of the equilibrium investment strategy and the corresponding equilibrium value were derived.更多还原