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International Conference on Information, Electronic and Computer Science (ICIECS 2010 E-BOOK)

Zibo,China,11.26-11.28,2010

ISBN: 978-1-935068-42-6 Scientific Research Publishing, USA

E-Book 2224pp Pub. Date: November 2010

Category: Computer Science & Communications

Price: $360

Title: Application of Forward-Backward Stochastic Differential Equation in Portfolio Selection
Source: International Conference on Information, Electronic and Computer Science (ICIECS 2010 E-BOOK) (pp 1679-1682)
Author(s): Hongcheng Ji, College of Information Science and Engineering，Shandong University of Science & Technology, Qingdao, China
Meijuan Wang, College of Information Science and Engineering，Shandong University of Science & Technology, Qingdao, China
Abstract: Nowadays, one of the central issues of financial mathematics is how to find a optimal portfolio. But the existing research articles on the optimal investment strategies most suppose the market complete. Actually, the market is generally not complete by the influence of macroeconomic factors. In order to be more realistic, adding option price and using the LQ model which combined with FBSDE, he paper well resolved the portfolio optimization problem of this kind of Derivative Securities in imperfect market, and finally find the optimal strategy of corresponding portfolio.
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