Optimal Solution Clause Samples
Optimal Solution. Define ψ¯t as an (nA × 1) vector with components ψ¯t,i = ψt,i denotes the risky assets prices; u¯t as an (nA × 1) vector with components u¯t,i = ut,i denotes the holding shares i=nA+1 of risky assets; X¯t as the wealth of all risky assets with X¯t = Xt − ΣnA+nL ψiui =
Optimal Solution. Define g(t, Xt, ψt) := Et,X ,ψ [Xu∗ ], (4.7) f (t, Xt, ψt) := Et,X ,ψ (Xu∗ )2 . (4.8)
4.1. The optimal control, ut∗, for the objective function (4.6) subjected to the wealth process (4.5), can be determined as: u∗t,2 = ψt,2 (CtXt + ηT ψ + ht) (4.9) where coefficients Ct, ht, ηt,i can be obtained by, for t ≤ T, t+∆t (αk,2 + β2) Et+∆t — A2 rt,1 t+∆t t+∆t
Optimal Solution. Define g(t, Xt, ψt) := Et,X ,ψ [Xu∗ ], (3.37) f (t, Xt, ψt) := Et,X ,ψ (Xu∗ )2 . (3.38)
2.5.1. The optimal control, u∗t , for the objective function (3.36) sub- jected to the wealth process (3.35), can be determined as: t,L α k,2 σ
Optimal Solution. Yk(t) = 1 and Yn(t) = 0, n