【作者】 刘彬； 朱经浩；

【Author】 Liu,Bin Zhu,Jinghao Department of Mathematics,Tongji University,Shanghai 200092

【机构】 同济大学数学系；

【摘要】 本文把[2]中离散半方差模型投资组合问题,推广到连续时间情形。引进恰当的状态约束,将原问题简化为一个有状态约束的随机最优控制问题。利用经典Lagrange理论,将其进一步转化为无约束随机LQ最优控制问题。进而借助优化技术计算半方差模型投资组合问题的最优投资决策。更多还原

【Abstract】 This paper is based on the semi-variance model which is mentioned in[2].By introducing a status constraint,we reduce in complexity of the original model and transform it into a stochastic LQR problem.Referring to the classical Lagrange theory,the stochastic LQR problem is further transformed into a non-constrained stochastic LQ problem.The semi-variance model is solved by some optimization technique.更多还原