李津竹^*

（  南开大学数学学院,天津市　300071；  ）

摘要： 本文研究马科维茨均值方差准则下保险公司的最优投资策略。保险公司可以将总资产投资于一支债券和一系列股票。市场的各参数,包括债券的利率以及股票的增值率和波动率,都被一个有限状态马尔科夫链所调节。风险过程被刻画为经典的复合泊松模型。应用随机线性二次型控制理论,文章得到了保险公司的最优投资策略和有效前沿。
关键词： 概率；有效前沿；均值方差准则；马尔科夫调节市场；投资组合

LI Jin-Zhu^*

（  School of Mathematical Sciences, Nankai University, Tianjin 300071；  ）

Abstract： This paper studies the optimal investment strategy foran insurer under Markowitz's mean-variance criterion. The insurercan invest in a bond and multiple stocks in a financial market. Themarket parameters, including the interest rate of the bond and theappreciation and volatility rates of the stocks, are modulated by aMarkov chain with finite states. The risk process is described by aclassical compound Poisson model. Using techniques of stochasticlinear-quadratic (LQ) control, the paper obtains the optimalinvestment strategy and efficient frontier.

Tag：

点此返回栏目查看更多>>>参考论文