简介：ThepaperanalyzesthetheoryandapplicationofMarkowitzMean-VarianceModelandCAPMmodel.Firstly,itexplainsthedevelopmentprocessandstandpointsoftwomodelsanddeducesthewholeprocessindetail.Then30stocksarechoosenfromShangzheng50stocksandaretestifiedwhetherthepricesofShanghaistocksconformtothetwomodels.Withthetechniqueoftimeseriesandpaneldataanalysis,theresearchonthestockriskandeffectiveportfoliobyORIGINandMATLABsoftwareisconducted.TheresultshowsthatShanghaistockmarketconformstoMarkowitzMean-VarianceModeltoacertainextentandcangiveinvestorsreliablesuggestiontogainhigherreturn,butthereisnopositiverelationbetweensystemriskandprofitratioandCAPMdoesn'tfunctionwellinChina'ssecuritymarket.

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简介：Thispaperconsidersaconsumptionandinvestmentdecisionproblemwithahigherinterestrateforborrowingaswellasthedividendrate.WealthisdividedintoarisklessassetandriskyassetwithlogrithmicErownianmotionpricefluctuations.Thestochasticcontrolproblemofmaximizatingexpectedutilityfromterminalwealthandconsumptionisstudied.Equivalentconditionsforoptimalityareobtained.Byusingdualitymethods,theexistenceofoptimalportfolioconsumptionisproved,andtheexplicitsolutionsleadingtofeedbackformulaearederivedfordeteministiccoefficients.

简介：这份报纸为一个保险公司与限制考虑最佳的控制问题。风险过程被假定是一个跳散开过程，风险能通过损失(XL)的过量被减少再保险。另外，剩余能在金融市场被投资。在金融市场，短卖的限制是使模型更现实主义的主要因素之一。我们的目标发现最佳的投资再保险政策没有短卖，它最大化终端财富的期望的指数的用途。由解决相应Hamilton-Jacobi-Bellman方程，值函数和最佳的投资再保险政策在一种关上的形式被给。