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《Journal of Anhui University of Technology and Science(Natural Science)》 2009-01
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Optimal portfotio model with dividend under the constraint of bounded capital at risk

ZHAO Pei-feng,FEI Wei-yin,WANG Fang(Dept.of Appl.Math.& Phy.,Anhui University of Technology and Science,Wuhu 241000,China)  
This paper characterizes the optimal portfolio and the corresponding optimization expected terminal wealth under the constraint of bounded capital at risk.In a Black-Scholes setting the classical portfolio model is extended to the one of stochastic stock market with the dividend.The optimal portfolio and the corresponding optimal expected terminal wealth under bounded capital at risk are obtained.
【Fund】: 国家重大基础研究计划(973)资助项目(2007cb814901);; 安徽省高校自然科学基金资助项目(kj2008B143);; 安徽省自然科学基金资助项目
【CateGory Index】: F224;F830.59
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Chinese Journal Full-text Database 2 Hits
1 Zhao Peifeng,Fei Weiyin,Wang Fang (Department of Applied Mathematics and Physics,Anhui University of Technology and Science,Wuhu,241000,China);STUDY ON PORTFOLIO MODEL WITH DIVIDEND UNDER CONSTRAINED RISK MEASURES[J];Mathematics in Economics;2009-01
2 ZENG Yan1,LI Zhong-fei2(1.School of Mathematics and Computational Science,Sun Yat-sen University,Guangzhou Guangdong 510275,China;2.Lingnan(University) College,Sun Yat-sen University,Guangzhou Guangdong 510275,China);Optimal proportional reinsurance-investment policies for an insurer under Capital-at-Risk constraint[J];Control Theory & Applications;2011-04
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