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Dinámica de portafolios y control óptimo estocástico
[Portfolio dynamics and stochastic optimal control]

Author

Listed:
  • Moreno Trujillo, John Freddy

Abstract

Se presenta una introducción a la teoría de control óptimo estocástico y sus aplicaciones en el marco del problema de selección óptima de portafolios.

Suggested Citation

  • Moreno Trujillo, John Freddy, 2020. "Dinámica de portafolios y control óptimo estocástico [Portfolio dynamics and stochastic optimal control]," MPRA Paper 101326, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:101326
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    File URL: https://mpra.ub.uni-muenchen.de/101326/1/MPRA_paper_101326.pdf
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    More about this item

    Keywords

    optimización de portafolios; control óptimo estocástico; ecuación de Hamilton-Jacobi-Bellman;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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