Discontinuous Prices Model Based Dynamic Mean-variance Portfolio Selection
An investment problem is considered with dynamic mean-variance(M-V) portfolio criterion under discontinuous prices which they follow jump-diffusion processes according to the actual prices of stocks and the normality and stability of the financial market. The short-selling of stocks is prohibited in this mathematical model. Then, the corresponding stochastic Hamilton-Jacobi-Bellman(HJB) equation of the problem is presented and the solution of the stochastic HJB equation based on the theory of stochastic LQ control and viscosity solution is obtained. The efficient frontier and optimal strategies of the original dynamic mean-variance portfolio selection problem are also provided. And then, the effects on efficient frontier under the Value-at-Risk(VaR) constraint are illustrated. Finally, an example illustrating the discontinuous prices based mean-variance portfolio selection is presented.
Investment analysis Control and Optimal Control Mean-variance criterion Discontinuous prices VaR constraint
Wei YAN Shurong LI
College of Information and Control Engineering,China University of Petroleum,Dongying Shandong 57061 College of Information and Control Engineering,China University of Petroleum,Dongying Shandong 25706
国际会议
北京
英文
2007-05-30（万方平台首次上网日期，不代表论文的发表时间）