An application of stochastic control theory to a bank portfolio choice problem

DOI10.4310/SII.2016.v9.n1.a7zbMath1386.91123MaRDI QIDQ1747563

Fathi Abid, Fatma Chakroun

Publication date: 8 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

stochastic optimal controloptimal asset allocationdynamic programming principleCRRA utility

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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