| Authors: | Japundžić, Miloš Jočić, Dragan Pavkov, Ivan |
Title: | Application of stochastic control theory to the optimal portfolio selection problem | Journal: | 2012 IEEE 10th Jubilee International Symposium on Intelligent Systems and Informatics, SISY 2012 | First page: | 85 | Last page: | 88 | Conference: | 10th IEEE Jubilee International Symposium on Intelligent Systems and Informatics, SISY 2012; Subotica; Serbia; 20 September 2012 through 22 September 2012 | Issue Date: | 12-Dec-2012 | Rank: | M33 | ISBN: | 978-1-467-34751-8 | DOI: | 10.1109/SISY.2012.6339491 | 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: | HJB equation | optimal portfolio | stochastic control | Publisher: | IEEE |
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