| An Application of Hamilton-Jacobi-Bellman Equation in Optimal Investment |
| |
| 作者姓名： | PU Xing-cheng~ |
| |
| 摘 要： | The simple portfolio investment model is given, with the HJB equation. The optimal portfolio investment problem is discussed under some given supposition, the quantitative relations are gotten between the investment strategies and riskless investment income rate and risk investment income rate are gotten. And with the quantitative relations, we study the qualitative relations between the investment strategies and riskless investment income rate and risk investment income rate. This also accounts for the effect of the falling interest rate of RMB on the national economy.
|
| 关 键 词： | HJB-equation markov control the optimal investment |
| 修稿时间： | 2003/6/30 0:00:00 |
An Application of Hamilton-Jacobi-Bellman Equation in Optimal Investment |
| |
| PU Xing-cheng.An Application of Hamilton-Jacobi-Bellman Equation in Optimal Investment[J].Storage & Process,2003(12):119-121. |
| |
| Authors: | PU Xing-cheng |
| |
| Institution: | PU Xing-cheng~ |
| |
| Abstract: | The simple portfolio investment model is given, with the HJB equation. The optimal portfolio investment problem is discussed under some given supposition, the quantitative relations are gotten between the investment strategies and riskless investment income rate and risk investment income rate are gotten. And with the quantitative relations, we study the qualitative relations between the investment strategies and riskless investment income rate and risk investment income rate. This also accounts for the effect of the falling interest rate of RMB on the national economy. |
| |
| Keywords: | HJB-equation markov control the optimal investment |
|
| 点击此处可从《保鲜与加工》浏览原始摘要信息 |
| 点击此处可从《保鲜与加工》下载免费的PDF全文 |
