New Models And Methods In Dynamic Portfolio Optimization

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Lijun Bo (Xidian University, China) Xiang Yu (The Hong Kong Polytechnic University, Hong Kong)

New Models And Methods In Dynamic Portfolio Optimization

Lijun Bo (Xidian University, China), Xiang Yu (The Hong Kong Polytechnic University, Hong Kong)

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Hardback

Forthcoming
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English

World Scientific Publishing Co Pte Ltd
05 July 2025

Optimisation; Applied mathematics

Series: Series In Quantitative Finance

Summary
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This book presents some new models and methods in the context of dynamical portfolio optimization. It encapsulates the authors' recent progress in their research on several interesting, featured issues of dynamic portfolio optimization problems with default contagion, tracking benchmark, consumption habit, and reinforcement learning.

These models include the default contagion model with infinite regime-switching under complete information and partial information; portfolio optimization model with consumption habit formation; optimal tracking model; extended Merton's problem with relaxed benchmark tracking and reinforcement learning of tracking portfolio.

The methods for addressing these problems are by developing the monotone dynamical system, martingale representation theorem under partial information, quadratic BSDE with jumps, duality method, decomposition-homogenization technique of Neumann problem, stochastic flow, and q-function learning with state reflection.

For the sake of the reader's convenience, preliminary knowledge on stochastic analysis and stochastic control are summarized in Chapters 2 and 3, which also serve as a brief basic introduction to the theory of SDEs, BSDEs, and the theory of optimal stochastic control.

The book will be a good reference for graduate students and researchers working on stochastic control and mathematical finance. The reader may pursue some presented research problems and be inspired to formulate and study other new and interesting problems in dynamic portfolio optimization and beyond.

By: Lijun Bo (Xidian University China), Xiang Yu (The Hong Kong Polytechnic University, Hong Kong)
Imprint: World Scientific Publishing Co Pte Ltd
Country of Publication: Singapore
Volume: 7
ISBN: 9789811280566
ISBN 10: 9811280568
Series: Series In Quantitative Finance
Pages: 344
Publication Date: 05 July 2025
Audience: College/higher education , Professional and scholarly , Further / Higher Education , Undergraduate
Format: Hardback
Publisher's Status: Forthcoming