Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第35回ISCIE「確率システム理論と応用」国際シンポジウム(2003年10月, 宇部)
Optimal Portfolio for Parabolic Type Infinite-Dimensional Factor Model with Power Utility
ShinIchi AIHARAArunabha BAGCHI
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2004 年 2004 巻 p. 65-70

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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.
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© 2004 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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