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The optimal portfolio problem for a bank account, single risky stock and a rolling horizon bond is developed. The investment objective is maximizing expected HARA utility of terminal wealth. The problem has been solved by the stochastic dynamic programming principle and linear square control theory. The optimal trading strategy is obtained. A numerical example is presented.
The optimal portfolio problem for a single riskless bond and risky stock modeled by jump-diffusion process has been established. The investment objective is maximizing the utility of his consumption and terminal wealth. The problem is formulated as a stochastic optimal control problem. The verification theorem and HJB equation for the optimal trading strategies are given by stochastic optimal control...
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