随机控制理论在最优投资组合问题中的应用

2012 IEEE 10th Jubilee International Symposium on Intelligent Systems and Informatics Pub Date : 2012-10-25 DOI:10.1109/SISY.2012.6339491

M. Japundzic, D. Jocic, I. Pavkov

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引用次数: 1

摘要

说明了随机控制理论在两种不同风险水平资产组合的最优投资组合选择问题中的应用。选择幂函数和自然对数作为效用函数，利用哈密尔-雅可比-贝尔曼(HJB)定理的逆定理，导出了最优投资组合的公式。

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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-Bellman (HJB) theorem, the formula for optimal portfolio is derived.

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2012 IEEE 10th Jubilee International Symposium on Intelligent Systems and Informatics

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