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Portfolio Optimization
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Classroom Contents
Accuracy of Approximation for Portfolio Optimization under Multiscale Stochastic Environment
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- 1 Intro
- 2 Welcome
- 3 Portfolio Optimization
- 4 Admissibility
- 5 Problem
- 6 Constant coefficient
- 7 Distortion transformation
- 8 Regular perturbation
- 9 Proof of approximation
- 10 Strategy
- 11 Step Solution
- 12 Conclusion
- 13 Subtlity
- 14 General Utility
- 15 Value Function
- 16 Sub and Super
- 17 Final thoughts
- 18 Questions
