The Solution of an Optimal Control Problem in Financial Modeling

Blaine E. Davis and D. Jack Elzinga
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Blaine E. Davis: American Telephone and Telegraph Company, New York, New York
D. Jack Elzinga: The Johns Hopkins University, Baltimore, Maryland

Operations Research, 1971, vol. 19, issue 6, 1419-1433

Abstract: This paper solves a financial decision-making model in investment activity. Although highly simplified, it leads to a very complicated nonlinear optimal control problem whose complete feedback control solution is obtained by means of a reverse-time construction technique. A dispersal surface with nonunique solutions is present in the optimal solution because of the non-concavity of the problem.

Date: 1971
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