Essays about: "Bellman equation."
Showing result 1 - 5 of 13 essays containing the words Bellman equation..
-
1. Merton's Portfolio Problem under Jourdain--Sbai Model
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : Portfolio selection has always been a fundamental challenge in the field of finance and captured the attention of researchers in the financial area. Merton's portfolio problem is an optimization problem in finance and aims to maximize an investor's portfolio. READ MORE
-
2. Merton's Portfolio Problem under Grezelak-Oosterlee-Van Veeren Model
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : Merton’s Optimal Investment-Consumption Problem is a classic optimization problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk-less assets, inorder to maximize an investor’s utility function. READ MORE
-
3. Deep learning for portfolio optimization
University essay from Linnéuniversitetet/Institutionen för matematik (MA)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
-
4. Deep Learning for Dynamic Portfolio Optimization
University essay from KTH/Matematisk statistikAbstract : This thesis considers a deep learning approach to a dynamic portfolio optimization problem. A proposed deep learning algorithm is tested on a simplified version of the problem with promising results, which suggest continued testing of the algorithm, on a larger scale for the original problem. READ MORE
-
5. Solving the Hamilton-Jacobi-Bellman Equation for Route Planning Problems Using Tensor Decomposition
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : Optimizing routes for multiple autonomous vehiclesin complex traffic situations can lead to improved efficiency intraffic. Attempting to solve these optimization problems centrally,i.e. READ MORE