Title :
Adaptive control of some continuous time portfolio and consumption models
Author :
Duncan, T.E. ; Pasik-Duncan, B.
Author_Institution :
Universuty of Kansas, Lawrence, Kansas
Abstract :
Some continuous time portfolio and consumption models are given that are natural generalizations of a model of Merton. In each of these models it is assumed that the average return rate of the risky asset which is either a deterministic function or a stochastic process is not observed. For these models of the wealth of an individual investor a recursive family of estimators of the average return rate of the risky asset are given and these estimates are used in the control of the wealth equation.
Keywords :
Adaptive control; Differential equations; Mathematical model; Mathematics; Optimal control; Portfolios; Random variables; Recursive estimation; Stochastic processes;
Conference_Titel :
Decision and Control, 1987. 26th IEEE Conference on
Conference_Location :
Los Angeles, California, USA
DOI :
10.1109/CDC.1987.272751
