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Utility function is a quadratic function of the optimal consumption and portfolio strategies

Author: LiZhiGang
Tutor: YangXuan;HeSui
School: Central China Normal University
Course: Applied Mathematics
Keywords: Optimal Investment Utility function Stochastic Dynamic Programming Risk Securitization
CLC: F832.48
Type: Master's thesis
Year: 2011
Downloads: 157
Quote: 0
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Abstract


1970s , Merton established a classic investment - consumption model , creating a problem of optimal investment consumption precedent , and it soon became the field of micro- finance research hotspot . People use stochastic dynamic programming theory , stochastic control theory and the martingale and duality theory and research continue to discuss in depth the optimal investment and consumption problem . The main works are: 1, in the risky securities to meet the geometric Brownian motion conditions, using stochastic dynamic programming theory gives optimal investment and consumption strategy should satisfy. 2, in the hypothetical investor's utility function is a quadratic function of the conditions for the optimal investment and consumption strategies display solutions , but also by the investor's wealth process display solution .

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