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Cybernetics And Systems Analysis
International Theoretical Science Journal
UDC 519.21
Bondarev B.V., Sosnytskyy O.E.

SOME PROBLEMS FOR CLARK’S MODEL. ІІ. A SOLUTION FOR THE MERTON PORTFOLIO PROBLEM

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.



FULL TEXT

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.

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