%0 Journal Article
%T The Optimal Security Investment Tactics with Risk Aversion<br>带有风险规避的证券投资最优策略
%A LIU Hai-long
%A FAN Zhi-ping
%A <br>刘海龙
%A 樊治平
%J 系统工程理论与实践
%D 2000
%I 
%X By using the theory of stochastic optimal control, a model for the problem of optimal tactics of securities investment with the risk aversion is set up. Then, definitions of the value function and the coefficient of risk aversion are given, and the nonlinear transformation of value function is conducted, which is proved to satisfy HJB partial differential equation with the coefficient of risk aversion. Particularly, the security investment tactics is proposed if the coefficient of risk aversion is infinite. Finally, an example is provided.
%K security investment
%K risk aversion
%K stochastic optimal control
%K value function
%K HJB partial differential equation<br>证券投资
%K 风险规避
%K 随机最优控制
%K 值函数
%K HJB偏微分方程
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=EB5707B8CD1CD66F&yid=9806D0D4EAA9BED3&vid=A04140E723CB732E&iid=0B39A22176CE99FB&sid=1AE5323881A5ECDC&eid=F4B561950EE1D31A&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=6&reference_num=0