The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
The optimal portfolio problem for a bank account, single risky stock and a rolling horizon bond is developed. The stochastic short-term interest rate with the Cox-Ingersoll-Ross (CIR) dynamics affects the prices of the stock and rolling horizon bond. The investment objective is maximizing expected CRRA utility of terminal wealth. The problem has been solved by the stochastic dynamic programming principle...
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.
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.