New Models And Methods In Dynamic Portfolio Optimization
Regular price
€122.99
14 days return policy
Shipping & Delivery
A01=Lijun Bo
A01=Xiang Yu
American Floor
Author_Lijun Bo
Author_Xiang Yu
Category=PBU
Category=PBW
Consumption Habit
Credit Risk
Default Contagion
Duality
Dynamical Portfolio Optimization
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Fenchel-Legendre Transform
FenchelAcAEURA"Legendre Transform
Feymann-Kac's Formula
FeymannAcAEURA"Kac's Formula
Hamilton-Jacobi-Bellman Equations
HamiltonAcAEURA"JacobiAcAEURA"Bellman Equations
Hybrid Diffusion Processes
Martingale Representation Theorem
Measurable Projection Theorem
Model Ambiguity
Neumann Boundary Problem
Optimal Stopping
Optimal Tracking Portfolio
Optional Decomposition Theorem
Quadratic BSDEs
Ratcheting Benchmark Process
Real Option
Risk-Sensitive Asset Management
Self-Exciting Default
Self-Financing
Stochastic Control
Stochastic Maximum Principle
Time-Inconsistent
Product details
- ISBN 9789811280566
- Publication Date: 15 Jul 2025
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
Secure
checkout
Fast Shipping
Easy returns
This book presents some new models and methods in the context of dynamical portfolio optimization. It encapsulates the authors' recent progress in their research on several interesting, featured issues of dynamic portfolio optimization problems with default contagion, tracking benchmark, consumption habit, and reinforcement learning.These models include the default contagion model with infinite regime-switching under complete information and partial information; portfolio optimization model with consumption habit formation; optimal tracking model; extended Merton's problem with relaxed benchmark tracking and reinforcement learning of tracking portfolio.The methods for addressing these problems are by developing the monotone dynamical system, martingale representation theorem under partial information, quadratic BSDE with jumps, duality method, decomposition-homogenization technique of Neumann problem, stochastic flow, and q-function learning with state reflection.For the sake of the reader's convenience, preliminary knowledge on stochastic analysis and stochastic control are summarized in Chapters 2 and 3, which also serve as a brief basic introduction to the theory of SDEs, BSDEs, and the theory of optimal stochastic control.The book will be a good reference for graduate students and researchers working on stochastic control and mathematical finance. The reader may pursue some presented research problems and be inspired to formulate and study other new and interesting problems in dynamic portfolio optimization and beyond.
