[1]杨云锋,金浩.不完备市场下的财富优化[J].江西师范大学学报(自然科学版),2012,(03):245-248.
 YANG Yun-feng,JIN Hao.The Study on Wealth Optimization in the Incomplete Market[J].,2012,(03):245-248.
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不完备市场下的财富优化()
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《江西师范大学学报》(自然科学版)[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2012年03期
页码:
245-248
栏目:
出版日期:
2012-05-01

文章信息/Info

Title:
The Study on Wealth Optimization in the Incomplete Market
作者:
杨云锋;金浩
西安科技大学理学院,陕西西安710054
Author(s):
YANG Yun-feng JIN Hao
关键词:
跳扩散过程等价鞅测度不完备市场财富优化
Keywords:
jump-diffusion process equivalent martingale measure incomplete financial market wealth optimization
分类号:
O211.6
文献标志码:
A
摘要:
假定股票价格服从跳过程为计数过程的跳扩散过程,讨论了投资者财富的最大化问题.利用随机分析的方法证明了存在优化投资组合,找到了唯一的等价鞅测度,给出了优化财富过程、价值函数及优化投资组合,将财富优化问题推广到不完备市场的条件下
Abstract:
Maximum of wealth under assumption that the stock price follows a diffusion with jumps is discussed. It is proved that the existence of an optimal portfolio and unique equivalent martingale measure by the stochastic analysis method. The optimal wealth, the value function and the optimal portfolio are given. The validity of the method is also extended to the incomplete market conditions.

参考文献/References:

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更新日期/Last Update: 1900-01-01