| 摘要 | 第1-7页 |
| Abstract | 第7-9页 |
| CONTENTS | 第9-12页 |
| Chapter 1 Introduction | 第12-34页 |
| ·Motivation and Literature Review | 第12-16页 |
| ·Portfolio management | 第12-15页 |
| ·Dual risk model | 第15-16页 |
| ·Preliminaries | 第16-24页 |
| ·Services objectives | 第16-18页 |
| ·Fundamental approach | 第18-24页 |
| ·The Summary of Main Results | 第24-30页 |
| ·Optimal portfolio selection strategies under some constraints | 第24-26页 |
| ·Optimal wealth tracking problem with consumption | 第26-27页 |
| ·Optimal portfolio on tracking the expected wealth process with liquidity constraints | 第27-29页 |
| ·Optimal constant barrier strategies in the dual risk model | 第29-30页 |
| ·Future Work | 第30-34页 |
| Chapter 2 Optimal Portfolio Selection Strategies under Some Constraints | 第34-50页 |
| ·Notations and Setting | 第34-35页 |
| ·Introduction and Statement of Results | 第35-37页 |
| ·Preliminary | 第37-43页 |
| ·Some main propositions | 第37-39页 |
| ·Simplifying the problem | 第39-43页 |
| ·Proof of Theorem 2.2.1 | 第43-44页 |
| ·Simulations and Validation Study | 第44-50页 |
| Chapter 3 Optimal Wealth Tracking Problem with Consumption | 第50-60页 |
| ·Introduction and Statement of the Problem | 第50-52页 |
| ·Statement of the Results | 第52-53页 |
| ·Proofs of Theorems | 第53-56页 |
| ·The Sensitivity Analysis and Conclusion | 第56-60页 |
| Chapter 4 Optimal Portfolio on Tracking the Expected Wealth Process with Liquidity Constraints | 第60-70页 |
| ·Introduction and Statement of the Results | 第60-62页 |
| ·Solution of the Problem | 第62-65页 |
| ·The optimal strategy | 第62-64页 |
| ·Some remarks | 第64-65页 |
| ·Numerical Methods and Example | 第65-70页 |
| Chapter 5 Optimal Constant Barrier Strategies in the Dual Risk Model | 第70-94页 |
| ·The Dual Risk Model with the Compound Binomial Processes | 第70-79页 |
| ·Some main properties | 第72-73页 |
| ·The ruin probability and Lundbery Inequality | 第73-75页 |
| ·Further exact results | 第75-78页 |
| ·Example | 第78-79页 |
| ·Statement of the Main Problem and Preliminary | 第79-83页 |
| ·Notations and risk model | 第80-82页 |
| ·Integro-differential Equations with Boundary Conditions | 第82-83页 |
| ·Expressions for V_i(u,b)and the Optimal Barrier Strategy in the Two State Makovian Environment | 第83-90页 |
| ·The case of exponential individual gains | 第83-88页 |
| ·The case of mixture of exponential individual gains | 第88-90页 |
| ·Numerical approximation and Examples | 第90-94页 |
| Bibliography | 第94-98页 |
| 攻读博士学位期间论文发表(或待发表)情况 | 第98-99页 |
| Acknowledgements | 第99页 |
