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
【CateGory Index】： F224;F830.59
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