Security Investment of Only A Few Loss
Ximin Rong · Journal of Tianjin University Science and Technology · 2004
A model of portfolio selection is developed on the basis of the definition of loss,with focus on its resolution by means of the theory of stochastic optimal control.Based on the definition of the value function and the coefficient of risk aversion, the nonlinear transformation of value function was proved to be in agreement with HJB partial differential equation with the coefficient of risk aversion. Security investment tactics was proposed on the condition that the coefficient of risk aversion is infinite.Then the problem was further discussed with an example.