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Optimal consumption and investment strategies with the interest rates and taxes

Author: WangDanPing
Tutor: LiuQingPing
School: Central South University
Course: Probability Theory and Mathematical Statistics
Keywords: Optimal Investment Utility function HJB equation Stochastic optimal control CIR model Levy process
CLC: O211.67
Type: Master's thesis
Year: 2011
Downloads: 29
Quote: 0
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Abstract


This paper studies the optimal consumption and investment strategies with the interest rates and taxes . Application of stochastic control theory and duality theory , the optimal consumption strategies under different utility function , the optimal investment strategy as well as the value of the function . Third chapter in considering taxes risk assets interest stochastic interest rate case , the study of optimal investment strategies . exponential utility function , so expect wealth utility investment strategy , and some important parameters obtained by numerical calculation of the optimal investment strategy . fourth Chapter Chapter under the same conditions , that there tax non - risk assets, interest rates and stochastic interest rates , study consumption and investment at the same time , the optimal strategy chapter using dynamic programming method and duality theory , optimal consumption under normal circumstances investment strategy , and a comparative analysis with the classic Merton final chapter considering tax payments and dividend income in the financial markets , optimal consumption and investment strategy research jump-diffusion case with the previous two chapters , this chapter assumes that the risk-free asset the interest rate is constant. Finally, the power utility function , the first two chapters similar conclusions .

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CLC: > Mathematical sciences and chemical > Mathematics > Probability Theory and Mathematical Statistics > Theory of probability ( probability theory, probability theory ) > Random process > Expectations and Forecast
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