| 吴 杰,黄冬冬,陈传钟.动态资本注入的最优投资策略[J].海南师范大学学报自科版,2016,29(1):17-21 |
| 动态资本注入的最优投资策略 |
| The Optimal Investment Strategy with Dynamic Capital |
| 投稿时间：2015-11-21 修订日期：2016-03-01 |
| DOI：10.12051/hainansfxyxb.2016.01.004 |
| 中文关键词: 动态投资 布朗运动 效用函数 最优投资组合 |
| 英文关键词: dynamic investment Brownian motion utility function optimal investment portfolio |
| 基金项目:海南师范大学研究生创新项目（Hsyx2015-39） |
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| 中文摘要: |
| 企业在维持原有经营过程中，将资金投资到股票市场. 以盈余用作投资资本，进行多阶段动态投资. 盈余过程由布朗运动刻画，效用函数刻画企业对风险和收益的态度. 在效用函数最大的前提下，得到了各投资时刻的最优投资组合. 该研究为企业提供了一种切实有效的投资策略 |
| 英文摘要: |
| Enterprises in maintaining normal operation invest into the stock market. The surpluses are used as investment capital by multi-stage dynamic investment. The surplus process of the enterprise is depicted by a Brownian motion and the attitude towards risk is depicted by utility function. The optimal investment portfolio at each investment time is obtained under the premise that the given utility function is maximum. The research provides apractical and effective investment strategy for enterprises. |
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