中文摘要：

在这份报纸，我们主要学习一种公事包选择问题在某些金融市场激发的一种风险敏感的最佳的控制问题。用古典凸的变化技术，我们为这种问题获得最大的原则。最大的原则的形式类似于它的风险中立的对应物。但是伴随方程和变化不平等重重地取决于风险敏感的参数。这是从风险中立的案例的主要差别之一。我们使用这结果解决一种最佳的公事包选择问题。鸣钟者获得的最佳的公事包策略当投资者仅仅投资家契约和股票时，动态编程原则是我们的结果的一种特殊情况。计算结果和图明确地说明在最大的期望的实用程序和模型的参数之间的关系。

英文摘要：

In this paper, we mainly study a kind of risk-sensitive optimal control problem motivated by a kind of portfolio choice problem in certain financial market. Using the classical convex variational technique, we obtain the maximum principle for this kind of problem. The form of the maximum principle is similar to its risk-neutral counterpart. But the adjoint equation and the variational inequality heavily depend on the risk-sensitive parameter 7. This is one of the main difference from the risk-neutral case. We use this result to solve a kind of optimal portfolio choice problem. The optimal portfolio strategy obtained by the Bellman dynamic programming principle is a special case of our result when the investor only invests the home bond and the stock. Computational results and figures explicitly illustrate the relationships between the maximum expected utility and the parameters of the model.