Lecture

Dynamic Portfolio Choice: Wealth Dynamics and HJB Equation

In course

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Description

This lecture discusses dynamic portfolio choice in a discrete time economy with risky and risk-free assets. The agent maximizes utility by choosing consumption and investment fractions. The wealth dynamics and HJB equation are derived, focusing on optimal consumption and investment policies. The lecture also covers the excess volatility puzzle, equity premium puzzle, and risk-free rate puzzle in asset pricing theory.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_e1xnwqbn

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Ontological neighbourhood

Economics

Microeconomics: Financial economics

Macroeconomics: Topics in macroeconomics

Business

Finance: Corporate finance

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