Sökning: "Itô-Lévy process"

Hittade 1 uppsats innehållade orden Itô-Lévy process.

  1. 1. Deep learning for portfolio optimization

    Master-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :JOHN N. MBITI; [2021]
    Nyckelord :Portfolio optimization; optimal portfolio; jump diffusion; Itô-Lévy process; stochastic control; dynamic programming; HJB equation; utility optimization; stochastic gradient descent; Deep learning; neural network.;

    Sammanfattning : In this thesis, an optimal investment problem is studied for an investor who can only invest in a financial market modelled by an Itô-Lévy process; with one risk free (bond) and one risky (stock) investment possibility. We present the dynamic programming method and the associated Hamilton-Jacobi-Bellman (HJB) equation to explicitly solve this problem. LÄS MER