Study On Investment Portfolio Tactics In Rub Finance Market

In the study of investment portfolio statics problem,one of the most im-portant aspect is how to allocate his money to obtain the best expected utility maximization,when the investor put his money in risk-free bank account and risk stocks.At present,the main way to solve the problem is dynamic programming method and martingale method. The majority of researches have been assume that investors can transact in the non-rub finance market.By studying on investment portfolio tactics in rub finance market,it is of powerful practical significance,at the same time the study of problem becomes more difficult too.This article studies tax and a kind of stochastic income acting to the estab-lishment of finance market and the option of the tactics of investment and other problems.This kind of stochastic income can be regarded as the dividend by dis-tributing continuously the stock mount(Abbreviation Dividend).Two models are introduced in order to research the problem.The first model is muti-dimensional diffusion model for optimal portfolio in which the dividend and tax is considered.First,the stochastic optimal control model for the wealth utility maximization is established. The total initial wealth is invested in a bond and n risk securities.Through controlling allocation rate of investment in two securities,the investor expect maximal wealth utility value at terminal,while state variances information are complicated. Second,we have got the tactics of optimal feedback by proposing risk aversion coefficient. Further, we study a risk averse utility function(Negative exponent utility function) and ana-lyze the solution of optimal feedback controlling under the extremely abhor risk condition. At last a numerical example is given.The second model is stochastic volatility model for optimal investment port-folio and consumption in which the dividend and tax is considered.First,the stochastic optimal control model for the optimal consumption and investment de-cision problem is established. The partial differential equation is obtained for the value function by using stochastic optional control theory.Then feedback form for the optimal consumption and investment is given based on the value function.In addition,the optimal consumption and investment tactics for one kind of typical utility function HRAR case are obtained.At last,we give a numerical example and analyze some parameter sensitivity.