不同效用函数下考虑部分信息的投资组合问题

摘要

通过假设股票价格不仅受布朗运动的驱动,而且受到马尔科夫调制参数的影响,建立了部分信息下的投资组合模型.运用非线性滤波估计技术和随机控制的方法,分别得到了指数效用函数和对数效用函数下的最优投资策略.%By assuming that stock prices not only by Brownian motion drive, but also the effects of parameters by markov modulation, partial information of the investment portfolio model was established. By using nonlinear filtering technology and the method of stochastic control, the optimal investment strategies about index utility function and logarithmic utility function are obtained.