Optimal Investment Policy: An Example of a Control Problem in Economic Theory




Dobell, Rod
Ho, Y. C.

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Institute of Electrical and Electronics Engineers, Inc.


A problem in mathematical economics concerning the optimal investment of resources is solved via the techniques of optimal control theory. Interesting theoretical complications include the simultaneous presence of interdependent control variable inequality constraints, state variable inequality constraints, and singularity conditions. Economic implications of the results are briefly discussed.


(c) 1967 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other users, including reprinting/ republishing this material for advertising or promotional purposes, creating new collective works for resale or redistribution to servers or lists, or reuse of any copyrighted components of this work in other works.


optimal control theory, complex systems, optimization, dual stability, asset pricing, Boolean matrices


Dobell, A. R., and Y. C. Ho. "Optimal Investment Policy: An Example of a Control Problem in Economic Theory." IEEE Transactions on Automatic Control 12.1 (1967): 4-14.