典型文献
An Optimal Portfolio Problem Presented by Fractional Brownian Motion and Its Applications
文献摘要：
We use the dynamic programming principle method to obtain the Hamilton-Jacobi-Bellman(HJB)equation for the value function,and solve the optimal portfolio problem explicitly in a Black-Scholes type of market driven by fractional Brownian mo-tion with Hurst parameter H∈(0,1).The results are compared with the corresponding well-known results in the standard Black-Scholes market(H=1/2).As an application of our pro-posed model,two optimal problems are discussed and solved,analytically.
文献关键词：
中图分类号：
作者姓名：
YAN Li
作者机构：
School of Mathematical Sciences,Chongqing Normal University,Chongqing 401331,China
文献出处：
引用格式：
[1]YAN Li-.An Optimal Portfolio Problem Presented by Fractional Brownian Motion and Its Applications)[J].武汉大学自然科学学报（英文版）,2022(01):53-56
A类：
Presented
B类：
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AB值：
0.666953
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