Optimal Investment Strategy for a Certain Class of Probabilistic Investment Problems

Abstract

This article obtained the proof of the optimal investment strategy and corresponding rewards for a class probabilistic stationary investment problems, using backward dynamic programming recursive approach. In the sequel, the article formulated nontrivial extensions of the results to a larger dynamic class for practical and realistic considerations. The recursions were based on conditional probabilities and the proofs were achieved by deft deployment of probability axioms, set-theoretic facts, optimization and inductive principles. The extensions reflected and demonstrated consistency with the base results.