Dissertation > Excellent graduate degree dissertation topics show

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
Read: Download Dissertation


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 .

Related Dissertations

  1. The Optimal Investment Strategy for Defined-Contribution Pension Plans,F842.6;F272
  2. On Some Ruin Problem of Cox Risk Model,F840
  3. The Positive Role of China Railway Construction Investment to Economic Growth and the Determinination of Optimal Investment,F124;F224
  4. Optimal Investment and Reinsurance Strategies,F840
  5. N risk assets to determine the contributory pensions optimal investment strategy,O211.67
  6. Optimal consumption and investment strategies with the interest rates and taxes,O211.67
  7. Portfolio-consumption Problem with Options,F830.59
  8. On the Optimal Investment Proportion on the Risk Model with Correlated Brownian Motion,F840;F830.59
  9. The Economic Analysis of Railway Heavy Transportation Secure Input,U298
  10. The Research of Perfect Assets proportion on the Value Hedge and Increment of Social Security Fund,C913.7
  11. A Study on the Optimal Structure of Insurance Investment in China,F842
  12. Optimal reinsurance and investment,F840.6
  13. To determine the optimal investment of contributory pension,F842.6
  14. Research on Resource Allocation for 3GPP LTE Uplink SC-FDMA System,TN929.5
  15. China's photovoltaic technology and industry system of optimal investment,F426.6
  16. Optimal Dynamic Portfolio Selection for Insurers Based on Solvency Requirements under the New Insurance Law,F840
  17. Study on HJB Equation of Investment Portfolio and Its Viscosity Solutions,F830.59
  18. The Risk Model of the Optimal Investment and Reinsurance about the Disturbance Factor,F840
  19. Optimal Dynamic Investment Portfolio of Insurers in Consideration of Real Estate,F224
  20. A Study on the Optimum Investment Proportion of Insurance Funds in China,F842

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Investment
© 2012 www.DissertationTopic.Net  Mobile