• DocumentCode
    3648945
  • 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
  • fYear
    2012
  • Firstpage
    85
  • Lastpage
    88
  • 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"
  • Publisher
    ieee
  • Conference_Titel
    Intelligent Systems and Informatics (SISY), 2012 IEEE 10th Jubilee International Symposium on
  • Print_ISBN
    978-1-4673-4751-8
  • Type

    conf

  • DOI
    10.1109/SISY.2012.6339491
  • Filename
    6339491
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3648945