Optimal Portfolio And The Yield Distribution Of Empirical Research

Optimal consumption and investment is a most fundamentalproblem in Finanicial Mathematics, the research of which originates fromMerton. Investors may choose freely his consumption and investment tomaximum the consumption and final wealths utility. Merton and someScholars all consider, in their optimum consumption and investmentmodel, that the investor's asset can choose freely between consumptionand investment. This dissertation consider some related problem about theoptimum investment portfolio.In the first chapter, look back upon the theory of investmentportfolio and the distributions of yield rate, cite some necessary basicknowledge.In the second chapter, based on the paper, discuss the modelwith transaction cost by the definition of risk; and get the optimumsolution with special condition.In the third chapter, optimal consumption and investment isconsidered, based on the paper, we obtain the optimum investmentexplicit expression in the two special utility functions.In the fourth chapter, deal with the insurers' optimuminvestment and portfolio, to find out a reasonable solution to thedistribution of insurers' assets among investment and reserve.In the last chapter, employing four different methods, analysisthe yield rate of stock market; and obtaining the two properties that"fat-tail and superaiguille" and "It is easier for drawdowns to lead to largeshocks than drawups" about the yield rate of our securties market.