Continuous-Time Optimal Portfolio Selection Strategy with Redemption Based on Stochastic Control

Ai Zhong Li; Ruo En Ren

doi:10.4028/www.scientific.net/AMR.271-273.592

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 271-273Continuous-Time Optimal Portfolio Selection...

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.

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Periodical:

Advanced Materials Research (Volumes 271-273)

Pages:

592-596

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.271-273.592

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Online since:

July 2011

Authors:

Ai Zhong Li, Ruo En Ren

Keywords:

Asset Allocation, Continuous Time, HJB Equation, Optimal Strategy, Portfolio Selection, Stochastic Control

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