不完全信息下的最优决策——基于随机无序模型的投资决策问题

随机无序模型是阿尔伯特·N.谢里亚夫（AlbertNShiryaev）提出的一个序贯检测方法，被运用于军工、气象、水利等工业制造领域。而在金融市场上，股票状态瞬息万变，十分考验投资者的专业判断能力。因此，本书尝试将随机无序模型引入投资决策当中，从数学统计的角度分析最优投资决策的方法，并通过三个实例分析，来阐述该模型的优越之处。

詹钥凇，现任中山大学商学院助理教授，硕士生导师，中国人民大学金融学博士。研究领域包括市场微观结构、金融计量、量化投资等。论文发表于Journal of Business & Economic Statistics， Journal of Economic Dynamics and Control等国际知名学术期刊

第1章绪论···········································································001 1.1研究背景·········································································001 1.2研究动机·········································································003 1.3研究内容与创新之处··························································004 1.4研究方法·········································································007 第2章文献综述·····································································008 2.1随机无序模型的文献综述····················································008 2.2股票动量效应和趋势交易的文献综述·····································010 2.3市场极端风险的文献综述····················································014 2.4股价与企业投融资决策的文献综述········································016 第3章随机无序模型·······························································019 3.1随机无序问题的概率模型····················································019 3.2随机无序模型的求解··························································022 3.3附录···············································································031 第4章高频数据下的股价趋势分析及投资策略······························034 4.1引言···············································································034 4.2模型设定及求解································································036 4.3数值分析·········································································041 4.4实证研究·········································································046 4.5基于随机无序模型的趋势跟踪策略········································059 4.6小结···············································································063 4.7附录···············································································064 第5章股票市场极端风险管理研究············································068 5.1引言···············································································068 5.2极值理论·········································································069 5.3模型设定及求解·······························································076 5.4数值分析·········································································084 5.5实证研究·········································································087 5.6小结···············································································097 5.7附录···············································································098 第6章股价变动与公司投资决策···············································101 6.1引言···············································································101 6.2模型设定及求解·······························································103 6.3数值分析·········································································108 6.4实证研究··········································································117 6.5结论···············································································122 6.6附录···············································································123 第7章结论与展望·································································130 7.1研究结论·········································································130 7.2启示与展望············································