{"product_id":"new-models-and-methods-in-dynamic-portfolio-optimization-hardcover","title":"New Models and Methods in Dynamic Portfolio Optimization - Hardcover","description":"\u003cdiv\u003e\u003cp style=\"text-align: right;\"\u003e\u003ca href=\"https:\/\/reportcopyrightinfringement.com\/\" target=\"_blank\" rel=\"nofollow\"\u003e\u003cb\u003eReport copyright infringement\u003c\/b\u003e\u003c\/a\u003e\u003c\/p\u003e\u003c\/div\u003e\u003cp\u003eby \u003cb\u003eBo Lijun\u003c\/b\u003e (Author)\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eThis 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.\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eThese 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.\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eThe 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.\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eFor 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.\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eThe 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.\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 344\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 0.81 x 9 x 6 IN\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e June 15, 2025\u003c\/div\u003e\n            ","brand":"BooksCloud","offers":[{"title":"Default Title","offer_id":48757417836793,"sku":"9789811280566","price":191.16,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0789\/2782\/3097\/files\/m3-UmMQd4N9789811280566.webp?v=1785946497","url":"https:\/\/bookscloud.io\/products\/new-models-and-methods-in-dynamic-portfolio-optimization-hardcover","provider":"BooksCloud Book Dropshipping","version":"1.0","type":"link"}