Paper Title:
Continuous-Time Optimal Portfolio Selection Strategy with Redemption Based on Stochastic Control
  Abstract

In this paper a continuous-time portfolio optimization decision with the redemption is made, a typical portfolio selection model is established by use of Bellman principle of optimality and HJB equation, we derive the optimal strategy and efficient frontier with general stochastic control technique. Its research methodologies can be applied in the practical work such as investment funds management and financial risk management to raise the scientificity of decisions. It is of great referential and inspirational value to provide solutions to practical problem in real investment process.

  Info
Periodical
Advanced Materials Research (Volumes 271-273)
Edited by
Junqiao Xiong
Pages
592-596
DOI
10.4028/www.scientific.net/AMR.271-273.592
Citation
A. Z. Li, R. E. Ren, "Continuous-Time Optimal Portfolio Selection Strategy with Redemption Based on Stochastic Control", Advanced Materials Research, Vols. 271-273, pp. 592-596, 2011
Online since
July 2011
Export
Price
$32.00
Share

In order to see related information, you need to Login.

In order to see related information, you need to Login.

Authors: Guang Lan Zhao, Hong Wei Ding, Ying Ying Guo, Yi Fan Zhao, Ya Nan Hao
Chapter 7: Computer and Information Technologies
Abstract:The paper starts with building system mathematical models and defining system parameters and working conditions to analyze the system model...
582
Authors: L. Guenfaf, S. Allaoua
Chapter 2: Automation and Mechatronics
Abstract:In this paper a Linear Quadratic Regulator (LQR) with and without actuator dynamic model for an electric-type active mass driver (AMD) system...
95
Authors: Hong Zhao
Chapter 2: Applied Mechanics, Monitoring and Control. Mechanical and Industrial Engineering
Abstract:In this paper the modeling and stability analysis of networked cascade control systems (NCCSs) are discussed. A class of continuous-time...
1238