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A note on the optimal portfolio problem in discrete processes
Kybernetika, Tome 45 (2009) no. 4, pp. 681-688 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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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.
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.
Classification : 49L20, 90C90, 91B28, 91B30, 91G10
Keywords: optimal portfolio problem; discrete Itô formula; discrete Hamilton–Jacobi–Bellman equation 
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Ishimura, Naoyuki; Mita, Yuji. A note on the optimal portfolio problem in discrete processes. Kybernetika, Tome 45 (2009) no. 4, pp. 681-688. http://geodesic.mathdoc.fr/item/KYB_2009_45_4_a11/

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