带跳过程的广义市场的整体最优投资策略(英)

华东师范大学学报(自然科学版) ›› 2004, Vol. 2004 ›› Issue (2): 37-42.

带跳过程的广义市场的整体最优投资策略(英)

许之彦

华东师范大学统计系，上海 200062

收稿日期:2002-09-25 修回日期:2003-06-13 出版日期:2004-06-25 发布日期:2004-06-25
通讯作者: 许之彦

The Growth Optimal Portfolio in a General Market Driven by Jump-diffusion Processes

XU Zhi-yan

Department of Statistics, East China Normal University, Shanghai 200062, China

Received:2002-09-25 Revised:2003-06-13 Online:2004-06-25 Published:2004-06-25
Contact: XU Zhi-yan

摘要/Abstract

摘要：

作者将严加安等的带一个跳过程的整体最优策略的结果，推广到一个广义的市场，该市场具有多个跳过程、多个风险资产.给出了该市场下整体最优投资策略存在的一个充分条件.

关键词: 带跳的扩散过程, 半鞅, 整体最优投资策略, 带跳的扩散过程, 半鞅, 整体最优投资策略

Abstract: In this paper, We generalize the results of Yan et al［1］ results on the growth optimal portfolio in a market driven by jump-diffusion processes with multi-risky assets. Sufficient conditions for existence of growth optimal portfolio in this case were given.

Key words: semimartingale, growth optimal portfolio, jump diffusion, semimartingale, growth optimal portfolio

中图分类号:

O211

许之彦. 带跳过程的广义市场的整体最优投资策略(英)[J]. 华东师范大学学报(自然科学版), 2004, 2004(2): 37-42.

XU Zhi-yan. The Growth Optimal Portfolio in a General Market Driven by Jump-diffusion Processes [J]. Journal of East China Normal University(Natural Sc, 2004, 2004(2): 37-42.