DocumentCode
2007292
Title
Optimal Portfolio Management with a Rolling Horizon Bond
Author
Wan, Shuping
Author_Institution
Jiangxi Univ. of Finance & Economics, Nanchang
fYear
2007
fDate
May 30 2007-June 1 2007
Firstpage
1973
Lastpage
1976
Abstract
The optimal portfolio problem for a bank account, single risky stock and a rolling horizon bond is developed. The investment objective is maximizing expected HARA utility of terminal wealth. The problem has been solved by the stochastic dynamic programming principle and linear square control theory. The optimal trading strategy is obtained. A numerical example is presented.
Keywords
dynamic programming; investment; stochastic programming; HARA utility; bank account; horizon bond roll; investment; linear square control theory; optimal portfolio management; optimal trading strategy; single risky stock; stochastic dynamic programming; terminal wealth; Bonding; Control theory; Cost function; Economic indicators; Investments; Measurement standards; Optimal control; Portfolios; Security; Stochastic processes; Linear square control; Portfolio; Riccati equatio; Rolling horizon bond;
fLanguage
English
Publisher
ieee
Conference_Titel
Control and Automation, 2007. ICCA 2007. IEEE International Conference on
Conference_Location
Guangzhou
Print_ISBN
978-1-4244-0818-4
Electronic_ISBN
978-1-4244-0818-4
Type
conf
DOI
10.1109/ICCA.2007.4376705
Filename
4376705
Link To Document