Add to ORKGIn this work, we present an application of Stochastic Control Theory to the Merton’s portfolio optimization problem. Then, the dynamic programming methodology is applied to reduce the whole problem to solving the well-known HJB (Hamilton-Jacobi-Bellman) equation that arises from the Merton’s portfolio optimization problem subject to the power utility function. Finally, a numerical method is proposed to solve the HJB equation and the optimal strategy. The numerical solutions are compared with the explicit solutions for optimal consumption and investment control policies
We use the dynamic programming principle method to obtain the Hamilton-Jacobi-Bellman (HJB) equation...
International audienceWe investigate a model problem for optimal resource management. The problem is...
We give a short introduction to the stochastic calculus for Itô-Lévy processes and review briefly th...
In this work, we present an application of Stochastic Control Theory to the Merton\u27s portfolio op...
Abstract: This paper provides a numerical solution of the Hamilton-Jacobi-Bellman (HJB) equation for...
Josef Anton Strini analyzes a special stochastic optimal control problem. The problem under study ar...
Merton’s portfolio optimization problem is the choice an investor must make of how much of its wealt...
We consider a portfolio optimization problem which is formulated as a stochastic control problem. Ri...
The purpose of this thesis is to examine and solve a classic financial optimization problem known as...
In this paper we propose and analyze a method based on the Riccati transformation for solving the ev...
In this paper we propose and analyze a method based on the Riccati transformation for solving the ev...
We consider general problems of optimal stochastic control and the associated Hamilton-Jacobi-Bellma...
In this study, the literature, recent developments and new achievements in stochastic optimal contro...
We develop stochastic optimal control methods for spread financial markets defined by the Ornstein-U...
Portfolio selection has always been a fundamental challenge in the field of finance and captured the...
We use the dynamic programming principle method to obtain the Hamilton-Jacobi-Bellman (HJB) equation...
International audienceWe investigate a model problem for optimal resource management. The problem is...
We give a short introduction to the stochastic calculus for Itô-Lévy processes and review briefly th...
In this work, we present an application of Stochastic Control Theory to the Merton\u27s portfolio op...
Abstract: This paper provides a numerical solution of the Hamilton-Jacobi-Bellman (HJB) equation for...
Josef Anton Strini analyzes a special stochastic optimal control problem. The problem under study ar...
Merton’s portfolio optimization problem is the choice an investor must make of how much of its wealt...
We consider a portfolio optimization problem which is formulated as a stochastic control problem. Ri...
The purpose of this thesis is to examine and solve a classic financial optimization problem known as...
In this paper we propose and analyze a method based on the Riccati transformation for solving the ev...
In this paper we propose and analyze a method based on the Riccati transformation for solving the ev...
We consider general problems of optimal stochastic control and the associated Hamilton-Jacobi-Bellma...
In this study, the literature, recent developments and new achievements in stochastic optimal contro...
We develop stochastic optimal control methods for spread financial markets defined by the Ornstein-U...
Portfolio selection has always been a fundamental challenge in the field of finance and captured the...
We use the dynamic programming principle method to obtain the Hamilton-Jacobi-Bellman (HJB) equation...
International audienceWe investigate a model problem for optimal resource management. The problem is...
We give a short introduction to the stochastic calculus for Itô-Lévy processes and review briefly th...