(Al Neelain University, 2015-07) Budoor Mohammed Abd Elati
The main objective of this thesis is to study the optimal
portfolio problem in incomplete markets. The problem of
finding such optimal ponfolio is of connection to solve partial
differential equations corresponding to the infinitesimal
generator of the process describing the risky assets in the given
markets.Is the method used to find the solution of the a rising
partial differential equation is a viscosity concept .As an
application for finding optimal portfolio a consumption problem
is considered. Due to the incompleteness of the markets they
the problem is challenging because the best strategy We aim will
not be perfect.
