Dissertation > Excellent graduate degree dissertation topics show

Application of Martingale Analysis to Optimal Investment and Consumption Strategies

Author: ShaoZhengWei
Tutor: KongFanLiang
School: Harbin University of Science and Technology
Course: Applied Mathematics
Keywords: Martingale analysis Equivalent martingale measure Utility function Optimal Investment and Consumption
CLC: F224
Type: Master's thesis
Year: 2008
Downloads: 189
Quote: 0
Read: Download Dissertation

Abstract


Martingale is a frontier theory of stochastic processes , the martingale analysis method has become a powerful tool , and forward some other branch of mathematics infiltration and cross , and their combination gradually formed a new branch of research . This article is using martingale analysis methods to investigate the optimal investment and consumption decision problem , and get some results . Starting from the microscopic structure of the market and the martingale concept , nature , within the framework of the Black-Scholes study optimal investment and consumption, there are two kinds of financial assets in the financial markets . Using traditional methods - stochastic dynamic programming methods and martingale analysis method to investigate the optimal investment and consumption decisions on the financial markets , there are two kinds of financial assets . Stochastic dynamic programming method to obtain the optimal investment and consumption strategy implicit solution . Martingale analysis method to get the display solution . By the use of the comparison of the two methods , the Martingale analysis has obvious advantages in investment and consumption solve consumption and terminal wealth utility maximization problem . At the same time , the use of equivalent martingale measure principle , the theory of stochastic processes studied recursive utility function under optimal investment and consumption problem . Due to financial asset prices are influenced by many random factors in the company 's profitability indicators , inflation rate , the market factor promoted by deterministic continuous function of time to the random function under circumstances of the random system , the establishment of a mathematical model , that financial asset prices by a new model of random factors , optimal investment and consumption strategy . The martingale analysis, random process theory to find the optimal investment and consumption strategy for the new model . Meanwhile , the basis for decision-making in the utility function is given HARA utility function of the investor 's specific investment and consumption strategies , investment and consumption model has been further improved with practical application significance .

Related Dissertations

  1. Multi-Objective Optimization Research on Construction Project Management,TU71
  2. Research on Insurer’s Optimal Investment Strategy under Constant Elasticity of Variance (CEV) Model,F840
  3. The Application on Optimal Investment Strategy by Martingale,F224
  4. A Consumption-Investment Problem with General Utility Functions,F830.59
  5. Research on Quasi-Bayesian Theory,O212.8
  6. Optimal set of bunk NCD pricing and deductibles,F840.3
  7. Injected with the utility function of the classical risk model optimal dividend problem,F840.3
  8. General utility function under optimal investment and consumption problem with a margin,F830.91
  9. One Kind of International Optimal Security Investment Problem under the Partial Information,F224
  10. Optimal consumption and investment strategies with the interest rates and taxes,O211.67
  11. N risk assets to determine the contributory pensions optimal investment strategy,O211.67
  12. The Procurement Cost Research Based on Third Party Purchase,F274
  13. Component-based Formal Development for Reuse,TP311.52
  14. Jump - diffusion risk model of optimal investment and reinsurance strategies,F840.3
  15. Optimal investment and reinsurance policies with model uncertainty,F840.3;F830.9
  16. Research on Multi-Stream Coding and Transmission for Surveillance Video,TN919.8
  17. Flexible Path regional bus service Decision Model,F572
  18. Single-point multi- call option to reset Martingale Pricing,F830.9
  19. Research on Decision Theory Based on the Multi-Prior Expected Utility,O211.67
  20. Information Security Risk Management Model and Implementation,TP309

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile