appliedprobability

Merton Portfolio Optimization

Here are the slides from Lectures

Please read Section 2.4 of the notes

Here are the slides from Lectures

Please read Section 2.3 of the notes

Here are the slides from Lectures

Please read Section 2.2 of the notes

Here are the slides from Lectures

Please read Section 2.1 of the notes

Here are the slides from Lectures

Please read these notes [which will be later added to the main set of notes]:

We consider the Robbins-Monro update

$x_{n+1} = x_n +\alpha_n [g(x_n) + \epsilon_n]$

and argue that this can be approximated by the o.d.e.:

$\frac{dz}{d t} = g(z(t)).$

Lyapunov functions are an extremely convenient device for proving that a dynamical system converges. We cover: