Continuous Time Portfolio Optimization
Lecture notes finished.
Mo 13:45 - 15:15, room 48-606
Requires knowledge of stochastic calculus (Stochastic Differential Equations, Financial Mathematics I)
- portfolio optimization: utility maximization,
- martingale method,
- stochastic optimal control,
- portfolio optimization under constraints (e.g. transaction costs, risk constraints),
- portfolio optimization in incomplete markets,
- alternative clever approaches.
Links and Downloads
- Lecture notes: Version August 10 (auf Anfrage)
Lecture notes on Finance (for some background in finance)
- Financial Mathematics I (auf Anfrage)