不同时域下的的最优投资消费问题研究

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1、吉首大学硕士学位论文不同时域下的最优投资消费问题研究吕烜二0一八年五月分类号密级公开UDC单位代码吉首大学硕士学位论文不同时域下的的最优投资消费问题研究Researchonoptimalinvestmentconsumptionindifferenttimedomain研究生姓名吕烜指导教师莫宏敏（副教授）副指导教师张勇（讲师）学科专业统计学研究方向金融统计提交论文日期年月日论文答辩日期年月日答辩委员会主席论文评阅人二0一八年五月x5VF>U3ÆjAb6`~b;:jA,;AeV+W**.>U3ÆjA'6-F3rÆt"Xt3?3Æ!/

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6、ionproblemismainlytostudyhowtoin-vestinvariousassetswhilemakingconsumption,tomaximizethetotalutilityofconsumptionandfinalwealth.OnthebasisofMerton’sresearchontheoptimalinvestmentconsumption,theassumptionsarerelaxedinthispaper.Basedontwodifferenttimedomainsandthreerepresentativeconsumptionu

7、tilityfunctions,theoptimalinvestmentandconsumptionstrategyisstudied.Bysolvingthedifferentmodels,howtheparametersaffecttheoptimalinvestmentandconsumptionstrat-egyindifferentmarketenvironmentcanbeanalyzedandcompared.Andthen,ascientifictheoreticalbasiscanbeprovidedforinvestorstoinvestandconsume

8、effectively.Accordingtothediversityanduncertaintyoftherealfinancialmarket,thispapermainlycarriesoutthefollowingthreeaspects:First,acontinuoustimeportfolioselectionmodelisestablished,andtheHJBequationsatisfyingthevaluefunctionissolvedbyusingthedynamicprogrammingprinciple,and