| 确定收益模式下证券投资组合研究 |
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| 引用本文： | 郁俊莉,王其文.确定收益模式下证券投资组合研究[J].中国地质大学学报(社会科学版),2004,4(1):43-45. |
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| 作者姓名： | 郁俊莉 王其文 |
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| 作者单位： | 北京大学,光华管理学院,北京,100871 |
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| 摘 要： | 在理论与实践中,证券投资组合问题的研究已取得了辉煌的成果。本文通过运用非线性倒向随机微分方程,研究当投资者以将来某一时刻获取一定数额确定性收益为投资目标时,如何确定当前证券投资组合中各证券的投资比例。文中运用非线性倒向随机微分方程给出证券组合的模型,并给出了相应的解的形式。
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| 关 键 词： | 证券组合 倒向随机微分方程 正向随机微分方程 |
| 文章编号： | 1671-0169(2004)01-0043-03 |
| 修稿时间： | 2003年7月25日 |
Research of the Securities Portfolio Based on the Model of Determinate Profit |
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| YU Jun-li,WANG Qi-wen.Research of the Securities Portfolio Based on the Model of Determinate Profit[J].Journal of China University of Geosciences(Social Sciences Edition),2004,4(1):43-45. |
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| Authors: | YU Jun-li WANG Qi-wen |
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| Abstract: | We have got very great achievements in the research of portfolio both in theory and practice. By using nonlinear backward stochastic differential equation, the investment proportion of portfolio at present should be defined when the investors plan to get the determinate profit at a certain time in the future for the investment purpose. This paper not only provides the portfolio model by using backward stochastic differential equation, but also gives the form of the solution. |
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| Keywords: | portfolio backward stochastic differential equation forward stochastic differential equation |
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