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Optimal Portfolio Control with Unknown Horizon

DOI: 10.4236/jmf.2012.21005    3,383 Downloads   6,857 Views   Citations

ABSTRACT

In this paper, we relax the assumption of a known time horizon in optimal control models.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

M. Alghalith, "Optimal Portfolio Control with Unknown Horizon," Journal of Mathematical Finance, Vol. 2 No. 1, 2012, pp. 41-42. doi: 10.4236/jmf.2012.21005.

References

[1] M. Alghalith, “A New Stochastic Factor Model: General Ex-plicit Solutions,” Applied Mathematics Letters, Vol. 22, No. 12, 2009, pp. 1852-1854. doi:10.1016/j.aml.2009.07.011
[2] W. Fleming, “Some Optimal Investment, Production and Consumption Models,” Con-temporary Mathematics, Vol. 351, 2004, pp. 115-124.
[3] F. Focardi and F. Fabozzi, “The Mathematics of Financial Modeling and Investment Management,” Wiley, New York, 2004.

  
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