CEV过程下含期权的最优投资问题的研究.pdf

Abstract Withthecontinuous and of thefinancial lotof developmentimprovement markets，a financiM derivative asfuture SOonhavebecome products，suchcontracts，options，and nlore all(tnlore maintransactioninthefinancial people’S ot)jects investors’investmentectscontain to theirown obj options，how investmentand arrange istheactual thatthecurrentinvestors consumption problem face．Onthebasisofthe Constant of discussessome aboutthat ElasticityVariance(CEV)model，thepaper problems whentheinvestors’investmentcontain standintwo objects options，and anglesanalyses the withtheactualsituations．Oneistostandinthe of problemscombineding perspective the otherisa inthe thisarticleselectsis personalinvestment，the Standingenterprise，and theinsurance company． Inthefirst introducesthe ofinvestmentand chapter，thispaper problem andthe ofthe CEV is in development process．Inchaptertwo，basicpropaedeutics gived this paper． Inthethird considerthethe investmentand strat— chapter，we optimal consumption aboutthe withoneriskflee call we egy portfolio asset，riskasset，oneeuropeanop