Dinámica de portafolios y control óptimo estocástico

Portfolio dynamics and stochastic optimal control

John Freddy Moreno Trujillo

MPRA Paper from University Library of Munich, Germany

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.

Keywords: optimización de portafolios; control óptimo estocástico; ecuación de Hamilton-Jacobi-Bellman (search for similar items in EconPapers)
JEL-codes: C02 C22 C61 (search for similar items in EconPapers)
Date: 2020-05-22
New Economics Papers: this item is included in nep-ore
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Published in odeon Núm. 17 (2019): Julio-Diciembre.17(2020): pp. 89-106

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:101326

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