| Based on dynamic continuous time financial theory,we study the problem of life insurance demand,the consumption of the family,the relationship between the purchase of insurance and financial asset allocation.Under the restriction of wealth utility analysis framework of utility max-imization model,we use stochastic optimal control method to study the optimal investment and consumption model,and analysis the influence of related parameters on the optimal strategy.The paper is divided into three chapters:Firstly,we assume that the stock trading process is affected by the current changes.In other words,.a large number of liquidated stocks will make stocks fall.Through empirical analysis,we introduce random transactions into our monetization strategy model.Being based on maximization of realisation proceeds,establishing an optimal stock liquidation strategy model with limited time.We assume that the stock price obeys the CEV process.We use dynamic programming principles and derivation of Value Functions for Hamilton-Jacobi-Bellman Equations.Then we use Differ-ential Lagrange Multiplier Method to Calculate Differential Equations.we can find its numerical solution and its corresponding optimal strategy.Secondly,we assume that the transaction rate affects the price of the stock and the stock price satisfies the CEV process.We explored the optimal trading of stock trading under the framework of mean-variance.First of all,We use dynamic programming principles to derive corresponding partial differential equations.Then we use the numerical method of linear difference to solve the numerical solution of the equation.So that we can achieve the best expectation and the minimum variance of the optimal strategy.Finally,We have proved the consistency,stability,continuity of the difference format.Then we conclude that the difference scheme converges to its viscous solution.It provides sufficient theoretical support for the numerical calculations in the third chapter and In the forth chapter. |
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