Portfolio Optimization

A.Y. 2016/2017
6
Max ECTS
40
Overall hours
SSD
SECS-S/06
Language
English
Learning objectives
The aim of the course is to introduce stochastic optimal control techniques and to provide applications to portfolio optimization.
Students will tackle the financial portfolio problems by means of the dynamic programming method and the martingale approach as well.
Expected learning outcomes
Undefined
Course syllabus and organization

Single session

Lesson period
Second trimester
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES - University credits: 6
Lessons: 40 hours
Professors: Bandini Elena, Iacus Stefano Maria
Professor(s)