New Models And Methods In Dynamic Portfolio Optimization

Lijun Bo, Xiang Yu (Autoren)

Buch | Hardcover

344 Seiten

2025
World Scientific Publishing Co Pte Ltd (Verlag)
978-981-12-8056-6 (ISBN)

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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.

Erscheinungsdatum	12.06.2025
Reihe/Serie	Series In Quantitative Finance ; 7
Verlagsort	Singapore
Sprache	englisch
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
Themenwelt	Mathematik / Informatik ► Mathematik ► Finanz- / Wirtschaftsmathematik
ISBN-10	981-12-8056-8 / 9811280568
ISBN-13	978-981-12-8056-6 / 9789811280566
Zustand	Neuware