| 摘要: |
| 本文研究了保险市场上的均值-方差组合选择问题. 本文利用线性二次控制理论, 得到了最优策略和有效的均值-方差边界的显示解. |
| 关键词: 均值-方差 组合选择 马氏链 风险模型 |
| DOI： |
| 分类号:O225 |
| 基金项目:陕西省教育厅科研计划项目资助(15JK2183). |
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| MEAN-VARIANCE PORTFOLIO SELECTION IN MARKOV-SWITCHING JUMP-DIFFUSION MARKET FOR RISK MODEL |
|
YANG Peng1,2
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1.Department of Applied Statistics and Science;2.Center for Applied Statistics Science, Xijing University, Xi'an 710123, China
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| Abstract: |
| In this paper, we study mean-variance portfolio selection problem in insurance market. By using linear-quadratic control, we obtain some wealth meanwhile make their own risks to the minimum, which generalize mean-variance portfolio selection problem to jump diffusion insurance market with markov modulated. |
| Key words: mean-variance portfolio selection Markov chain risk model |
