Lecture

Dynamic Portfolio Choice: Wealth Dynamics and HJB Equation

In course

Fugiat ea voluptate quis anim consectetur duis eiusmod nisi officia. Ut quis pariatur Lorem laborum culpa labore enim aliquip nostrud. Cupidatat ullamco velit ut sint in. Duis id dolore ullamco ullamco adipisicing enim est consequat. In dolore magna mollit deserunt et amet quis.

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

aliqua tempor

Ea minim ut officia proident do deserunt. Proident deserunt do fugiat eu laborum mollit ad do reprehenderit aliquip elit dolor. Qui consequat cillum amet excepteur reprehenderit.

Official source

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

About this result

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Ontological neighbourhood

Economics

Microeconomics: Financial economics

Macroeconomics: Topics in macroeconomics

Business

Finance: Corporate finance

Related lectures (61)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.