Portfolio selection with stochastic volatility and continuous dividends

被引：0

作者：

Yang, Yunfeng ^{[1
]}

Qiao, Rui ^{[1
]}

Zheng, Yingchun ^{[1
]}

机构：

[1] XIAN Univ Sci & Technol, Sch Sci, Xian, Peoples R China

来源：

2019 15TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND SECURITY (CIS 2019) | 2019年

基金：

中国国家自然科学基金;

关键词：

componentjump-diffusion process; stochastic volatility; dividends; incomplete financial market; wealth optimization;

D O I：

10.1109/CIS.2019.00075

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This paper study the problem of the portfolio selection. It is established that the behavior model of the stock pricing process is jump-diffusion driven by a count process and stochastic volatility. Supposing that risk assets pay continuous dividend regarded as the function of time.It is proved that the existence of an optimal portfolio and unique equivalent martingale measure by stochastic analysis methods. The unique equivalent martingale measure,the optimal wealth process, the value function and the optimal portfolio are deduced.

引用

页码：324 / 327

页数：4

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