A Note on the Optimal Portfolio Problem in Discrete Processes
نویسندگان
چکیده
We deal with the optimal portfolio problem in discrete-time setting. Employing the discrete Itô formula, which is developed by Fujita, we establish the discrete Hamilton–Jacobi– Bellman (d-HJB) equation for the value function. Simple examples of the d-HJB equation are also discussed.
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ورودعنوان ژورنال:
- Kybernetika
دوره 45 شماره
صفحات -
تاریخ انتشار 2009