| 有界在险资本约束下带有红利的最优投资组合模型研究 |
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| 引用本文： | 赵培峰,费为银,王芳.有界在险资本约束下带有红利的最优投资组合模型研究[J].安徽机电学院学报,2009(1). |
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| 作者姓名： | 赵培峰 费为银 王芳 |
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| 作者单位： | 安徽工程科技学院应用数理系 |
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| 基金项目： | 国家重大基础研究计划(973)资助项目(2007cb814901);; 安徽省高校自然科学基金资助项目(kj2008B143);; 安徽省自然科学基金资助项目 |
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| 摘 要： | 对有界在险资本约束下的最优投资组合模型进行了推广.在布莱克-斯科尔斯模型框架下建立了带有红利情形的随机股票市场模型,给出了在有界在险资本约束下的最优化投资组合策略和对应的最大化平均终端财富.
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| 关 键 词： | 随机微分方程 分位数 布莱克-斯科尔斯模型 在险资本 红利 |
Optimal portfotio model with dividend under the constraint of bounded capital at risk |
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| ZHAO Pei-feng; FEI Wei-yin; WANG Fang.Optimal portfotio model with dividend under the constraint of bounded capital at risk[J].Journal of Anhui Institute of Mechanical and Electrical Engineering,2009(1). |
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| Authors: | ZHAO Pei-feng; FEI Wei-yin; WANG Fang |
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| Affiliation: | ZHAO Pei-feng; FEI Wei-yin; WANG Fang(Dept.of Appl.Math.& Phy.; Anhui University of Technology and Science; Wuhu 241000; China); |
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| Abstract: | This paper characterizes the optimal portfolio and the corresponding optimization expected terminal wealth under the constraint of bounded capital at risk.In a Black-Scholes setting the classical portfolio model is extended to the one of stochastic stock market with the dividend.The optimal portfolio and the corresponding optimal expected terminal wealth under bounded capital at risk are obtained. |
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| Keywords: | stochastic differential equation quantile black-scholes model capital at risk dividend |
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