比例保本约束下的最优投资组合选择

摘要

In this article, we consider an optimal portfolio selection problem with power utility function under principal guaranteed. By Lagrange multiplier and portfolio replicating approach, we obtain the optimal wealth process and the optimal portfolio, which extends the results of optimal portfolio selection with constraint.%本文研究了幂效用函数下带有比例保本约束的最优投资组合选择问题。利用拉格朗日乘子和投资组合复制方法，得到最优财富过程和最优投资组合，推广了带有限制的投资组合的相关结果。