Application of stochastic control theory to the optimal portfolio selection problem
2012
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.
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
11
References
1
Citations
NaN
KQI