摘要翻译：
本文研究了{随机环境下}的连续时间市场，其中一个代理人在给定投资期限和目标终端平均收益的情况下，寻求使多只股票和一只债券的收益方差最小化。在[3]首次提出的模型中，单个资产的平均收益明显地受到潜在的高斯经济因素的影响。利用过去和现在的资产价格信息，建立了一个具有随机系数的部分信息随机最优控制问题。这里的部分信息是由于经济因素无法直接观察到。利用动态规划理论，通过求解一个确定性正向Riccati型常微分方程和两个线性确定性反向常微分方程来构造最优投资组合策略。
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英文标题：
《Continuous-time Mean-Variance Portfolio Selection with Stochastic
  Parameters》
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作者：
Wan-Kai Pang, Yuan-Hua Ni, Xun Li, and Ka-Fai Cedric Yiu
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
  This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a bond. In the considered model firstly proposed by [3], the mean returns of individual assets are explicitly affected by underlying Gaussian economic factors. Using past and present information of the asset prices, a partial-information stochastic optimal control problem with random coefficients is formulated. Here, the partial information is due to the fact that the economic factors can not be directly observed. Via dynamic programming theory, the optimal portfolio strategy can be constructed by solving a deterministic forward Riccati-type ordinary differential equation and two linear deterministic backward ordinary differential equations.
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PDF链接：
https://arxiv.org/pdf/1302.6669