Here are the slides from Lectures

11_Merton Portfolio Optimization

Please read Section 2.4 of the notes

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# Category: MATH69122 Stochastic Control for Finance

## Merton Portfolio Optimization

## Diffusion Control

## Stochastic Integration (a quick intro)

## Continuous Time Dynamic Programming

## LQR and Kalman Filter

## Stochastic Control 2020

## Sequential Investment

Here are the slides from Lectures

11_Merton Portfolio Optimization

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

8_Continuous Time Dynamic Programming

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]:

Another year of MATH69122! — aka Stochastic Control.

This year, I will try to keep updating PDFs with slides and notes for each lecture. I’ll keep notes for the course in the “PDF” tab above. These are also here:

Here is a rough plan for each week of lectures:

We consider the problem of sequentially investing in a set of stocks.