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OPTIMUM PORTFOLIO CHOICE FOR A CLASS OF JUMP STOCHASTIC MODELS
D.O. Cajueiro1 and T. Yoneyama2
1 Department of Systems and Control, Instituto Tecnológico de Aeronáutica, ITA-IEE-IEES,
12228–900–São José dos Campos–São Paulo–Brasil
Emails: danoc@ele.ita.cta.br
2 Department of Systems and Control, Instituto Tecnológico de Aeronáutica, ITA-IEE-IEES,
12228–900–São José dos Campos–São Paulo–Brasil
Emails: takashi@ele.ita.cta.br
This paper addresses the problem of choosing the optimum portfolio in the context of continuous time jump stochastic models. The aim is to maximize the wealth of a small risk-averse investor that operates in this financial market. When the case of complete observation is considered, the optimal control problem is formulated and the Hamilton-Jacobi-Bellman equation is solved to yield the solution. On the other hand, to deal with the case of partial observation, the filter equations of the non-observed process are calculated and a sub-optimal control law is presented.
Keywords: Financial systems, optimal control, optimal filtering, stochastic jumps processes
Session slot T-Tu-E07: Modeling and Control of Economic Systems/Area code 5e : Computation in Economic, Financial and Engineering-Economic Systems
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