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portada New Models and Methods in Dynamic Portfolio Optimization
Type
Physical Book
Author
Publisher
Language
English
Pages
308
Format
Hardcover
ISBN13
9789811280566
Categories

New Models and Methods in Dynamic Portfolio Optimization

Xiang Yu (Author) · Lijun Bo (Author) · World Scientific Publishing Company · Hardcover

New Models and Methods in Dynamic Portfolio Optimization - Bo, Lijun ; Yu, Xiang

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Synopsis "New Models and Methods in Dynamic Portfolio Optimization"

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 model uncertainty.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.

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