THE CONTINUOUS-TIME PORTFOLIO PROBLEM

Ralf Korn
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Ralf Korn: Johannes Gutenberg-Universität Mainz, Germany

Chapter 3 in Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time, 1997, pp 37-99 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Introduction and Formulation of the ProblemComparison between Stochastic Control and Martingale Method — A Preview via a Simple Discrete ExampleThe Stochastic Control Method to Solve the Portfolio ProblemThe Martingale Approach to the Continuous-Time Portfolio ProblemThe Martingale Method Revisited — Pliska's VersionAn Application: "Minimising the Difference to the Terminal Wealth of a Richer Investor"

Date: 1997
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