We consider the problem of sequentially investing in a set of stocks.
Category: MATH69122 Stochastic Control for Finance
Experts and Bandits (non-stochastic)
- Weighted majority algorithm its variant for Bandit Problems.
More on Merton Portfolio Optimization
Merton Portfolio Optimization
We consider a specific diffusion control problem. We focus on setting where there is one risky asset and one riskless asset, though we will see that much of the analysis passes over to multiple assets.
Diffusion Control Problems
- The Hamilton-Jacobi-Bellman Equation.
- Heuristic derivation of the HJB equation.
- Davis-Varaiya Martingale Prinicple for Optimality
Stochastic Integration – a Heuristic view
Heuristic derivation of
- the Stochastic Integral
- Stochastic Differential Equations
- Ito’s Formula
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Continuous Time Dynamic Programs
- Continuous-time dynamic programs
- The HJB equation; a heuristic derivation; and proof of optimality.
