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| 摘要: |
| 本文研究了离散时间下，风险资产价格增长率独立同分布，投资决策依赖于前一时刻的风险资产价格变动情况下的最优投资组合.利用大偏差方法，证明了这种情形下时均对数收益率的大偏差原理成立，定理不需要收益率序列有界的假设.具体给出了最优投资组合的计算方法，并且利用MATLAB进行了实例计算. |
| 关键词: 大偏差 对数收益率 投资组合 |
| DOI： |
| 分类号:O211.9 |
| 基金项目: |
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| APPLICATION OF LARGE DEVIATIONS METHOD IN THE PORTFOLIO |
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WANG Kai-hong
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| Abstract: |
| In this paper, we study the discete-time optimal portfolio when the risky asset price growth rates are i.i.d., and the investment decision depends on the previous changes of the risky asset price. Large deviations method is used to prove that the average logarithmic yield satisfies the large deviations principle without the bounded hypothesis of the yield series in this case. It gives the calculation method of the optimal portfolio, and calculations of the specific examples are carried out by MATLAB. |
| Key words: large deviations logarithmic yield optimal portfolio |
