Ping Chen, Sardar M.N. Islam, Optimal Control Models in Finance: A New Computational Approach
ISBN: 0387235698 | edition 2001 | PDF | 221 pages | 5 mb
The determination of optimal financing and investment strategies (optimal capital structure or optimal mix of funds, optimal portfolio choice, etc.) for corporations and the economy are important for efficient allocation of resources in the economy. Optimal control methods have useful applications to these areas in finance - some optimization problems in finance include optimal control, involving a dynamic system with switching times in the form of bang-bang control.