Application of stochastic control theory to the optimal portfolio selection problem

Application of stochastic control theory to the optimal portfolio selection problem

Application of stochastic control theory to the optimal portfolio selection problem, in the case when portfolio consists of two assets with different level of risk is illustrated. Choosing power functions and natural logarithmic for the utility function, and using a converse of Hamilton-Jacobi-Bellm...

Ausführliche Beschreibung

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Bibliographische Detailangaben
Hauptverfasser: Japundzic, M., Jocic, D., Pavkov, I.
Format: Tagungsbericht
Sprache:eng
Schlagworte:
Control theory
Equations
HJB equation
Markov processes
optimal portfolio
Portfolios
Process control
stochastic control
Yttrium
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Beschreibung
Zusammenfassung:Application of stochastic control theory to the optimal portfolio selection problem, in the case when portfolio consists of two assets with different level of risk is illustrated. Choosing power functions and natural logarithmic for the utility function, and using a converse of Hamilton-Jacobi-Bellman (HJB) theorem, the formula for optimal portfolio is derived.
ISSN:1949-047X
1949-0488
DOI:10.1109/SISY.2012.6339491