一类半方差模型的投资组合问题

Solution to Optimal Portfolio Problem Based on Semivariance Model

摘要:

把离散半方差模型投资组合问题，推广到连续时间情形.引进恰当的状态约束，将原问题转化为一个有约束的随机最优控制问题.利用经典Lagrange理论，将其进一步转化为无约束随机LQ(Linear Quadratic)最优控制问题.进而借助优化技术计算半方差模型投资组合问题的最优投资决策.

关键词:最优投资组合; 随机LQR问题; Riccati方程

Abstract:

The optimal portfolio is investigated based on the semiinvariance model.A solution is given to the optimal portfoli by means of the feedback optimal control of an linearquadratic optimal control problem.

Key words:optimal portfolio; stochastic LQR problem; Riccati equation