Essays about: "mean-field type optimal control"

Found 1 essay containing the words mean-field type optimal control.

  1. 1. Mean-Variance Portfolio Selection Accounting for Financial Bubbles: A Mean-Field Type Approach

    University essay from KTH/Matematisk statistik

    Author : Marcus Häggbom; Shayan Nafar; [2019]
    Keywords : Financial bubbles; portfolio optimization; mean-variance trade-off; mean-field type optimal control; fundamental value; mean reversion; Finansiella bubblor; portföljoptimering; optimal kontroll av medelfältstyp; fundamentalt värde; medelreversion;

    Abstract : The phenomenon of financial bubbles is known to have impacted various markets since the seventeenth century. Such bubbles are known to form when the market drastically overvalues the price of an asset, causing its market value to increase hyperbolically, only to suddenly collapse once the untenable perceived future prospects of the asset are realized. READ MORE