Optimal Portfolio for Parabolic Type Infinite-Dimensional Factor Model with Power Utility

Abstract

We consider the construction of optimal portfolio for maximizing a power-utility at the final time. For managing the portfolio, we control the amounts of the bank account and several bonds with different maturities. The dynamics of bond price is given through the parabolic type infinite-dimensional factor model with boundary noises. By using the dynamic programming approach, we obtain the optimal portfolio in the incomplete market.