Uncertain optimal control model for management of netrisky capital asset

Abstract

A new model of asset management for a business organization is proposed based on the uncertainty theory in which the capital assets are managed. Here, a continuous-time utility portfolio problem with the assumption of Hyperbolic Absolute Risk Aversion (HARA) utility function is examined from an investor whose income is generated by return and capital gains on investments in risky tangible assets with price and return on assets assumed to satisfy the Liu uncertain process. Thus, the problem is solved and the optimal controls are obtained.