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dc.contributor.authorJapundžić, Milošen
dc.contributor.authorJočić, Draganen
dc.contributor.authorPavkov, Ivanen
dc.date.accessioned2020-05-01T20:29:05Z-
dc.date.available2020-05-01T20:29:05Z-
dc.date.issued2012-12-12en
dc.identifier.isbn978-1-467-34751-8en
dc.identifier.urihttp://researchrepository.mi.sanu.ac.rs/handle/123456789/1998-
dc.description.abstractApplication 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.en
dc.publisherIEEE-
dc.relation.ispartof2012 IEEE 10th Jubilee International Symposium on Intelligent Systems and Informatics, SISY 2012en
dc.subjectHJB equation | optimal portfolio | stochastic controlen
dc.titleApplication of stochastic control theory to the optimal portfolio selection problemen
dc.typeConference Paperen
dc.relation.conference10th IEEE Jubilee International Symposium on Intelligent Systems and Informatics, SISY 2012; Subotica; Serbia; 20 September 2012 through 22 September 2012-
dc.identifier.doi10.1109/SISY.2012.6339491en
dc.identifier.scopus2-s2.0-84870668321en
dc.relation.firstpage85en
dc.relation.lastpage88en
dc.description.rankM33-
item.grantfulltextnone-
item.cerifentitytypePublications-
item.fulltextNo Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.openairetypeConference Paper-
crisitem.author.orcid0000-0003-4574-5228-
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