Abstract
In the paper, a problem of dynamic optimal portfolio selection is considered. We examine an approach with two criteria: expected value and variance. The main difficulty is of that the variance criterion is not separable in time, even for the cost (benefit) function of Bolza type. Two methods of determining optimal control with expected value-variance criteria are tested: method based on the Lagrange function (finite time horizon) and method based on the linear programming (infinite time horizon). These methods were applied to a problem of investing in assets at the main market of the Warsaw stock-exchange.
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