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Optimal Portfolio Rules

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

Abstract

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].

Keywords

Utility Function Cash Flow Optimal Portfolio Stochastic Control Lagrange Multiplier Method 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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