Some problems for Clark's model. II. A solution for Merton's portfolio problem^sup 1

The problem of finding the optimal control over the portfolio for an investor in (B, S)-market is considered. Clark's model is taken as a model for the stock price evolution. The cases of risk-loving, risk-neutral, and risk-averse investors are considered.

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Bibliographic Details
Published in:Cybernetics and systems analysis 2013-09, Vol.49 (5), p.727
Main Authors: Bondarev, B V, Sosnytskyy, O E
Format: Article
Language:English
Subjects:
Cybernetics
Dance music
Investment policy
Investments
Mathematical models
Portfolio management
Stock prices
Studies
Systems analysis
Online Access:Get full text
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Description
Summary:The problem of finding the optimal control over the portfolio for an investor in (B, S)-market is considered. Clark's model is taken as a model for the stock price evolution. The cases of risk-loving, risk-neutral, and risk-averse investors are considered.
ISSN:1060-0396
1573-8337
DOI:10.1007/s10559-013-9560-x