Stochastic Optimal Control: Martingale Theorem

Related lectures (32)

Page 1 of 4

Explores dynamic portfolio selection, log-utility functions, risk aversion, and optimal control problems in financial markets.

Covers the Euler equation, dynamic programming, and optimal consumption in portfolio allocation.

Covers dynamic portfolio choice, wealth dynamics, HJB equation, and asset pricing puzzles.

Explores the optimal betting strategy in a dynamic programming gambling problem, emphasizing risk preference impact.

Explores dynamic programming for optimizing portfolio choices and asset pricing theory.

Covers portfolio selection, asset pricing, market efficiency, and risk management in investments.

Explores distributionally robust portfolio optimization and compares different estimation approaches and methods for portfolio evaluation.

Explains the determination of equilibrium state prices in asset pricing through consumption market clearing and budget constraints.

Explores dynamic portfolio selection, utility functions, risk aversion, and log-utility in financial markets.

Explores portfolio optimization, efficient frontier, CAPM, and risk management in finance.