Title :
Application of stochastic control theory to the optimal portfolio selection problem
Author :
Miloš Japundžić;Dragan Jočić;Ivan Pavkov
Author_Institution :
Higher School of Professional Business Studies, Novi Sad, Serbia
Abstract :
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 :
"Portfolios","Process control","Control theory","Equations","Yttrium","Markov processes"
Conference_Titel :
Intelligent Systems and Informatics (SISY), 2012 IEEE 10th Jubilee International Symposium on
Print_ISBN :
978-1-4673-4751-8
DOI :
10.1109/SISY.2012.6339491
