| 跳扩散模型下静、动态资产优化配置的等价问题 |
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| 引用本文： | 胡姝慧,王萍,张曙光.跳扩散模型下静、动态资产优化配置的等价问题[J].中国管理科学,2008(Z1). |
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| 作者姓名： | 胡姝慧 王萍 张曙光 |
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| 作者单位： | 中国科学技术大学管理学院; |
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| 基金项目： | National Basic Rsearch program of China(973 Program,2007CB814901) |
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| 摘 要： | 本文主要研究目标是连续时间金融理论中的动态资产优化配置问题,即投资者投资于股票和债券,在连续交易,无交易费和无套利假设下选择投资组合使投资者最终时间财富的效用达到最大。本文将从研究静态资产优化配置问题着手,考虑在资产价格是跳扩散模型的不完全市场下,静、动态资产优化配置等价的充分必要条件。我们的分析假定股票价格为带跳的扩散过程。
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| 关 键 词： | 静态资产优化配置 动态资产优化配置 路径独立 状态价格密度 |
Equivalence between Static and Dynamic Asset Allocation in Jump-Diffusion Type Incomplete Market |
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| HU Shu-hui,WANG Ping,ZHANG Shu-guang.Equivalence between Static and Dynamic Asset Allocation in Jump-Diffusion Type Incomplete Market[J].Chinese Journal of Management Science,2008(Z1). |
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| Authors: | HU Shu-hui WANG Ping ZHANG Shu-guang |
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| Institution: | HU Shu-hui,WANG Ping,ZHANG Shu-guang (Managemewt School,University of Science , Technology of China,Hefei,230026.China) |
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| Abstract: | A classic dynamic asset allocation problem optimizes the expected final-time utility of wealth for an individual, who can invest in a risky stock and a risk-free bond,trading continuously in time.This paper examines the question: when are the static and dynamic approaches exactly equivalent in an incomplete market?We give an easily-tested necessary and sufficient condition.Our analysis assumes that the stock follows a diffusion process with a jump. |
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| Keywords: | static asset allocation dynamic asset allocation path independence state price density |
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