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Stochastic Control Theory for Optimal Investment
This paper illustrates the application of stochastic control methods in managing the risk associated with ... We present the Hamilton-Jacobi-Bellman HJB equation and demonstrate its use in finding the optimal investment ...- Authors: MARITINA TOLEDO CASTILLO, Gilbert Parrocha
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models