%0 Journal Article
%T Optimal portfolio selectionwhen stock prices follow jump-diffusion process<br>跳跃扩散股价的最优投资组合选择
%A GUO Wen-jing
%A <br>郭文旌
%J 控制理论与应用
%D 2005
%I 
%X It is assumed that the stock price follows the jump-diffusion process.In view of the traditional mean-variance portfolio selection model,we maximize the expected terminal return and minimize the variance of the terminal wealth. A stochastic linear-quadratic control problem is introduced as auxiliary problem of the initial problem.A verification theorem for general stochastic optimal control with the state following a jump-diffusion process is showed.By applying verification theorem to the HJB(Hamilton-Jacobi-Bellman) equation,the optimal strategies in an explicit form for initial control problem are presented.Finally,the efficient frontier in a closed form for the original portfolio selection problem is given.
%K jump-diffusion process
%K optimal portfolio
%K HJB(Hamilton-Jacobi-Bellman) equation
%K efficient frontier<br>跳跃扩散过程
%K 最优投资组合
%K HJB方程
%K 有效前沿
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=5B3AB970F71A803DEACDC0559115BFCF0A068CD97DD29835&cid=8240383F08CE46C8B05036380D75B607&jid=970898A57DFC021F93AB51667BAED7F7&aid=26996364B1E1BC14&yid=2DD7160C83D0ACED&vid=BC12EA701C895178&iid=0B39A22176CE99FB&sid=73579BC9CFB2D787&eid=5BC9492E1D772407&journal_id=1000-8152&journal_name=控制理论与应用&referenced_num=7&reference_num=16