Essays about: "JOHN N. MBITI"

Found 1 essay containing the words JOHN N. MBITI.

  1. 1. Deep learning for portfolio optimization

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

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

    Abstract : 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. READ MORE