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

Covariance Volatility Hedging 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© S. Stojanovic 2003

Authors and Affiliations

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

Personalised recommendations