A note on the optimal portfolio problem in discrete processes

Title:

A note on the optimal portfolio problem in discrete processes

Creator:

Ishimura, Naoyuki and Mita, Yuji

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:81784cd4-2a54-4c83-af37-64b90d98038f
uuid:81784cd4-2a54-4c83-af37-64b90d98038f

Subject:

optimal portfolio problem, discrete Itô formula, and discrete Hamilton-Jacobi-Bellman equation

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

We deal with the optimal portfolio problem in discrete-time setting. Employing the discrete It\^o formula, which is developed by Fujita, we establish the discrete Hamilton-Jacobi-Bellman (d-HJB) equation for the value function. Simple examples of the d-HJB equation are also discussed.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[681]-688

Source:

Kybernetika | 2009 Volume:45 | Number:4

Harvested from:

CDK

Metadata only:

false