A Kind Of Optimal Portfolio Problem Of International Securities Under The Inflation Environment

In the portfolio theory,the optimal portfolio problem has always been a hot topic for scholars.Initially,investors can choose the relatively simple investment products,but the economic globalization has increased the complexity of the financial markets,investment products no longer single,and investors’ preferences are biased.Therefore,we need to further study the optimal portfolio problem under the complex financial framework.This needs to consider the new influencing factors and further study the optimal portfolio problem under the financial framework.At the same time,we also need to consider diversified financial products in the portfolio issues.This paper mainly studies the optimal portfolio of a class of international securities under the influence of exchange rate and inflation under the general financial framework.Then it discusses an optimal portfolio strategy with a typical utility function-constant relative risk aversion.The influence of some parameters on the optimal portfolio strategy is analyzed.This paper is divided into five parts.The first chapter discusses the research background,domestic and foreign research status,research content and framework.The second chapter introduces the optimal control theory of dynamic programming method and maximum principle,backward stochastic differential equation theory,as well as forward-backward stochastic differential equations theory and forward-backward stochastic differential equations with Poisson processes.The third chapter under the conditions of inflation and inflation and exchange rate double-acting conditions,respectively from the financial framework,portfolio optimization model and optimal portfolio strategy in three aspects of research,according to the dynamic planning method to obtain the corresponding optimal portfolio strategy and optimal function.The fourth chapter is based on the third chapter,discusses a typical utility function--the optimal portfolio strategy under the condition of constant relative risk aversion,and finally analyzes the influence of some model parameters on the optimal portfolio strategy through MATLAB software.The fifth chapter makes a summary and outlook,and explains the shortcomings and future research directions of this article.