马尔科夫调节市场中保险公司的均值方差投资组合策略
Mean-variance portfolio selection for an insurer in theMarkov-modulated market
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。
his 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.
李津竹
财政、金融
概率有效前沿均值方差准则马尔科夫调节市场投资组合
probabilityefficient frontiermean-variancecriterionMarkov-modulated marketportfolio selection
李津竹.马尔科夫调节市场中保险公司的均值方差投资组合策略[EB/OL].(2015-12-11)[2025-08-21].http://www.paper.edu.cn/releasepaper/content/201512-660.点此复制
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