考虑了随机利率环境下基于连续时间的动态最优资产配置问题。假设市场利率满足一个均值回复的随机过程，且金融市场由一个零息债券和两个价格受到共同冲击的相依性风险资产所构成。在均值-方差目标准则之下，利用随机最优控制理论和Lagrange对偶原理获得了有效投资策略以及相应有效边界的解析式。最后通过数值算例，分析了有效策略及有效边界对相关参数的敏感性，并验证了相关理论结果。
In this paper, we consider the continuous time dynamic optimal asset allocation problem under the stochastic interest rate. We suppose that the market interest rate satisfies a stochastic process with the characteristic of mean-reverting, and the financial market consists of a zero-coupon bond and two dependent risky assets whose prices are suffered a common shock. Under the mean-variance criterion, using stochastic optimal control theory and Lagrange dual principle, the analytical solution for the efficient investment strategies and corresponding efficient frontier are obtained. Finally, through numerical examples, the sensitivity of efficient strategies and efficient frontier to relevant parameters are analyzed, and the relevant theoretical results are also verified.
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