Abstract. The problem of finding an optimal control over the portfolio for an investor in a (B,S)-market is considered. The Clark model is taken as a model for the stock price evolution. The cases of risk-loving, risk-neutral, and risk-averse investors are considered.
Keywords: stochastic integral over Poisson measure, Bellman equation, optimal control.
Бондарев Борис Владимирович,
доктор физ.-мат. наук, профессор Донецкого национального университета,
e-mail: bondarev.mart@gmail.com.
Сосницкий Олег Евгеньевич,
аспирант Донецкого национального университета,
e-mail: yahooomg@gmail.com.