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A note on the optimal portfolio problem in discrete processes

Naoyuki Ishimura; Yuji Mita — 2009

Kybernetika

We deal with the optimal portfolio problem in discrete-time setting. Employing the discrete Itô formula, which is developed by Fujita, we establish the discrete Hamilton–Jacobi–Bellman (d-HJB) equation for the value function. Simple examples of the d-HJB equation are also discussed.

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