Solution to Optimal Portfolio Problem Based on Semivariance Model

doi:10.3969/j.issn.0253-374x.2009.12.025

Home > Archive>Volume 37, Issue 12, 2009 >. DOI:10.3969/j.issn.0253-374x.2009.12.025

Solution to Optimal Portfolio Problem Based on Semivariance Model
DOI:
                        10.3969/j.issn.0253-374x.2009.12.025
                    
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Author:
                        ZHU JinghaoZHU Jinghao
Department of Mathematics, Tongji University, Shanghai 200092, China
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LIU BinLIU Bin
Department of Mathematics, Tongji University, Shanghai 200092, China
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Clc Number:O 231.3; O 232
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Abstract:

The optimal portfolio is investigated based on the semiinvariance model.A solution is given to the optimal portfoli by means of the feedback optimal control of an linearquadratic optimal control problem.

Key words:optimal portfolio; stochastic LQR problem; Riccati equation

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ZHU Jinghao, LIU Bin. Solution to Optimal Portfolio Problem Based on Semivariance Model[J].同济大学学报(自然科学版),2009,37(12):

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