Optimal portfolios in stochastic finance

随机金融中的最优投资组合

• 批准号: 288335-2009
• 负责人: Watier, Francois
• 金额: $ 1.09万
• 依托单位: Université du Québec à Montréal
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2013
• 资助国家: 加拿大
• 起止时间: 2013-01-01 至 2014-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=525791
• 关键词: Optimal; portfolios; stochastic; finance

Many complex dynamic systems ared modeled successfully by stochastic differential equations and this is particulary the case for stock markets. In a financial market, an investor might seek to establish a dynamic strategy allowing him to optimize a certain function of the expected terminal wealth. With this in mind, he must base his decisions on a continuously updated flow of information without being able to exactly predict future market fluctuations.

许多复杂的动态系统已经成功地用随机微分方程建模，股票市场尤其如此。在金融市场中，投资者可能会寻求建立一个动态策略，使他能够优化预期最终财富的某个函数。考虑到这一点，他必须根据不断更新的信息流做出决定，而不能准确预测未来的市场波动。