Optimal Portfolio Control with Unknown Horizon

DOI: 10.4236/jmf.2012.21005   PDF   HTML   XML   3,654 Downloads   7,219 Views   Citations

Abstract

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

Share and Cite:

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.

Conflicts of Interest

The authors declare no conflicts of interest.

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.

  
comments powered by Disqus

Copyright © 2020 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.