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首頁(yè)> 外文期刊>Infinite dimensional analysis, quantum probability, and related topics >DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION
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DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION

機(jī)譯：具有分?jǐn)?shù)布朗運(yùn)動(dòng)攝動(dòng)的經(jīng)典風(fēng)險(xiǎn)模型下的動(dòng)態(tài)均值優(yōu)化

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摘要

In this paper, we apply the completion of squares method to study the optimal investment problem under mean-variance criteria for an insurer. The insurer's risk process is modelled by a classical risk process that is perturbed by a standard fractional Brownian motion with Hurst parameter H is an element of (1/2, 1). By virtue of an auxiliary process, the efficient strategy and efficient frontier are obtained. Moreover, when H -> 1/2+ the results converge to the corresponding (known) results for standard Brownian motion.
機(jī)譯：在本文中，我們采用平方完成法來(lái)研究均值方差準(zhǔn)則下的保險(xiǎn)公司的最優(yōu)投資問(wèn)題。保險(xiǎn)人的風(fēng)險(xiǎn)過(guò)程由經(jīng)典風(fēng)險(xiǎn)過(guò)程建模，經(jīng)典風(fēng)險(xiǎn)過(guò)程受標(biāo)準(zhǔn)分?jǐn)?shù)布朗運(yùn)動(dòng)（Hurst參數(shù)H是（1/2，1）的元素）干擾。通過(guò)輔助過(guò)程，可以獲得有效的策略和有效的邊界。而且，當(dāng)H-> 1/2 +時(shí)，結(jié)果收斂為標(biāo)準(zhǔn)布朗運(yùn)動(dòng)的相應(yīng)（已知）結(jié)果。

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