Volume 2, Issue 6, November 2017, Page: 98-112
The Research of Discrete Mean - Variance Portfolio Problem with Time-Delay
Yuquan Cui, School of Mathematics, Shandong University, Jinan, P. R. China
Linlin Li, School of Mathematics, Shandong University, Jinan, P. R. China
Hua Liu, School of Mathematics, Shandong University, Jinan, P. R. China
Received: Oct. 10, 2017;       Accepted: Oct. 26, 2017;       Published: Nov. 22, 2017
DOI: 10.11648/j.mcs.20170206.13      View  2431      Downloads  131
Due to the financial sector complicated variety of events, each financial problems from changes to know its essence, the change rule, from the change of strategy to formulate relevant policy and policy into effect, etc., the process inevitably has a certain lag. Therefore, in order to better reflect the actual situation, we study the portfolio model with delays in this paper. By joining our delay control item, the optimization model was established, the goal is to maximize earnings expectations. In this paper, it studies the continuous time without delay the mean - variance portfolio problems on the basis of existing research. It established auxiliary problem using the stochastic linear quadratic optimal control theory. Using the maximum principle, the solution of the optimal investment strategy are given and it analysis the case, the conclusion is in conformity with the actual. It studies the existing time delay portfolio strategy problem in discrete time case. Based on the stochastic LQ (linear quadratic) optimal control theory, it established the discrete time model with time delay. The paper has carried on the solution and example analysis.
The Mean - Variance Model, Portfolio Investment, Input Delay, Optimal Control, Investment Strategy
To cite this article
Yuquan Cui, Linlin Li, Hua Liu, The Research of Discrete Mean - Variance Portfolio Problem with Time-Delay, Mathematics and Computer Science. Vol. 2, No. 6, 2017, pp. 98-112. doi: 10.11648/j.mcs.20170206.13
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