Optimal Portfolio Rules

Symbolic Solutions of Stochastic Control Problems in Portfolio Management
  • Srdjan Stojanovic


The classical portfolio theory goes back to Markowitz and his mean-variance portfolio theory. Portfolio theory based on stochastic control goes back to Merton’s classical paper in the early 70s [see, e.g., Ch. 5 of 46].


Utility Function Cash Flow Optimal Portfolio Stochastic Control Lagrange Multiplier Method 
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Copyright information

© S. Stojanovic 2003

Authors and Affiliations

  • Srdjan Stojanovic
    • 1
  1. 1.Department of Mathematical SciencesUniversity of CincinnatiCincinnatiUSA

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