Stochastic Control Theory for Optimal Investment

Topics:
Investment Strategy
Tags:
Asset Management,
Business Operations,
Corporate Insurance,
Finance,
Insurance,
Investment,
Operational Planning,
Theory,
University Of New South Wales
Source:
University of New South Wales

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Overview: This paper illustrates the application of stochastic control methods in ruin theory. It presents concepts, such as the Hamilton-Jacobi-Bellman equation, and reviews recent results to illustrate their use in ruin theory. In particular, given an insurance business and a fixed amount for investment in a portfolio consisting of one riskless asset and one risky asset, the optimal investment strategy that minimizes infinite time ruin probability is determined using the Hamilton-Jacobi-Bellman equation of the optimization problem.

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Format: PDF | Size: 248KB | Date: Nov 2002 | Pages: 18

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