Title :
Optimal Portfolio Management with a Rolling Horizon Bond
Author_Institution :
Jiangxi Univ. of Finance & Economics, Nanchang
fDate :
May 30 2007-June 1 2007
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;
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
DOI :
10.1109/ICCA.2007.4376705
