New Models and Methods in Dynamic Portfolio Optimization

Lijun Bo and Xiang Yu
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Lijun Bo: Xidian University, China
Xiang Yu: The Hong Kong Polytechnic University, Hong Kong, China

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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.

Keywords: Dynamical Portfolio Optimization; Default Contagion; Optimal Tracking Portfolio; Ratcheting Benchmark Process; American Floor; Credit Risk; Hybrid Diffusion Processes; Risk-Sensitive Asset Management; Consumption Habit; Model Ambiguity; Optimal Stopping; Real Option; Hamilton–Jacobi–Bellman Equations; Stochastic Maximum Principle; Quadratic BSDEs; Feymann–Kac's Formula; Stochastic Control; Martingale Representation Theorem; Measurable Projection Theorem; Duality; Fenchel–Legendre Transform; Time-Inconsistent; Self-Exciting Default; Optional Decomposition Theorem; Neumann Boundary Problem; Self-Financing (search for similar items in EconPapers)
JEL-codes: C61 G11 G32 (search for similar items in EconPapers)
Date: 2025
ISBN: 9789811280566
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