Continuous-Time Optimal Portfolio Selection Strategy with Redemption Based on Stochastic Control
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.
A. Z. Li and 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