The Dynamic Portfolio Management. Uncertainty Conditions

With the wealth aceumulation and the development of financial market,People areeagerly expecting to improve the living quality which creates the demand for financiaadvice.How to efficiently manage the portfolio becomes a problem that must be settled by us.Dynamic consumption and portfolio choice theory provides the investors a wonderfulframework for making decision.This dissertation are concened dynamic consumption and portfolio choice problem,chieflydivided into six chapters.Chapter 2 reviews the relevant literatures,aggregates portfolio theory.After reviewing theMarkowitz mean-variance model,we summarize the development of modern portfolioselection theory and elaborate the latest developments of portfolio management.Chapter 3 we chiefly discuss the practice use of modern portfolio selection theory.ininvestment funds and personal financeIn Chapter four,we are concened the impact of random labor income to the optimalportfolio.Models in the Merton tradition assume that all wealth is held in a liquid,easily tradableform.However,the largest component of wealth for most households is human capital,.first wediscuss optimal investment and consumption problem when labor income is perfectly correlatedwith traded assets.secondly,we discuss optimal investment and consumption problem inincomplete market.In Chapter five,We investigate an optimal portfolio,consumption and retirement decisionproblem in which an economic agent can determine the discretionary stopping time as a retirementtime with constant labor wage.We allow the preference of the agent to be changed before andafter retirement.It is assumed that the agent's coefficient of relative risk aversion becomes higherafter retirement..Under a constant relative risk aversion(CRRA)utility function,we obtain theoptimal policies in closed-forms using martingale methods and variational inequality methods.In Chapter six,we set up a model to analyze the optimal consumption,life insurancepurchase and investment portfolio of a wage earner.In order to hedge the risk of losing incomestream by householder's unpredictable event,the household enters a life insurance contract bypaying a premium to an insurance company.The problem is to determine an optimalinsurance/investment/consumption strategy in order to maximize the expected total,discountedutility from consumption and terminal wealth.The case of exponential utilities is considered indetail to derive an explicit solution..