Optimality Problem of Portfolio in an Incomplete Markets

Abstract

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.