The Research On Dynamic Investment Decision Models

As our market of Securities develops in the direction of regulation and health, investment in securities is becoming a more and more important financial way of people. Using the way of quantitative and qualitative analysis, this article studies the market behavior of common investors from three micro layers of the financial market as follows: 1.common research on Portfolio mechanism; 2.mathematical model reasoning; 3.simulating calculation test of the market.Surrounding how to integrate the investment preference of people, the constraint of profit and the confidence level of the optimal portfolio, this paper establishes a dynamic asset allcation model of long-term investment.Meanwhile,this paper analyses and interpretes the best solution to the model and its scope of utility, and then, using the established model frame and analystic ways,this paper deals with optimal consuming investment strategies.Connecting with classic portfolio theories of building up the optimal asset allocation models and under the Black-Stoles financial market setting,this paper uses the progressive log profit rate or the constraint of investment chances to replace the mean in Markowitz mean-Var model, uses Value-at-Risk(VaR) or Capital-at-Risk(CaR) to replace the index of variance and extends the classic markowitz mean- VaR model to continuous-time financial market.Furthermore, this paper reasons out the best constant rebalanced Portfolio investment strategies and deals with best solutions in various situations and these solutions can be adapted to practice of dynamic investment strategies and management and can be illustracted.This paper is made up of 5 chapters as follows:Chapter â…  is the preface, it briefly introduces the background of choosing this thesis and the current foreign and domestic research situation of this subject, and the basic researching way and contents are shown in this part.Chapter â…¡ analyses the constructing mechanism of portfolio model through the comparative research of basic portfolio theories and basic models.Chapter â…¢ establishes the progressive log-optimal dynamic portfolio model based on the constraint of risk and discusses the adjusting ways of constraint conditions.Chapter â…£ studies the optimal dynamic financial asset allocation model basedon the constraint of investment chance, and it brings into the risk concept of Capital-at-Risk(CaR) and detailly discusses various situations of the best solution It's of the same importance that the model of this paper provides a conclusion ,which is in accordance with the observation, that is ,in the aspect of long-term investment, the longer the investment is ,the higher the rate of the CaR of the investors will be .As an adoption, using the established model, the 5th chapter discusses the constructing of the optimal dynamic consuming investment strategies,when the utility function is known.The renovations of this paper mainly are as follows.1.Using the basic idea of portfolio theory to set up four dynamic models of investment strategies.2.Making use of the established model to interpret to the relationship between the term and the rate of CaR of long-term investment.3.Using the established model to set up an optimal consuming investment strategy.