IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Adjoint Equations in Stochastic Optimal Control and Application to Portfolio Optimization with Borrowing Constraints

  • Alexis Derviz

The paper derives the adjoint/Euler equation for the co-state process of optimal control of diffusions in both integral and differential forms, as a part of the Stochastic Maximum Principle. The result is applied to the consumption and portfolio selection problems with statevariable-dependen t utility functions, where tradi tional Con sum ptionbased Capital Asset Pricing Model techniques do not work. The method is illustrated on the example of portfolio selection with restrictions on the short position size, particularly the dynamics of exchange rates in a world of liquidity-valuing international investors.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/28
Download Restriction: no

Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

Volume (Year): 3 (1996)
Issue (Month): 4 ()
Pages:

as
in new window

Handle: RePEc:czx:journl:v:3:y:1996:i:4:id:28
Contact details of provider: Web page: http://ces.utia.cas.cz
Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:czx:journl:v:3:y:1996:i:4:id:28. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jozef Barunik)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.