Application of stochastic flows to optimal portfolio strategies

MaRDI QIDQ5488585zbMATH OpenFDO

Authors Ryuji Fukaya

Publication date 22 September 2006

Full work available at URL http://journal.ms.u-tokyo.ac.jp/pdf/jms120302.pdf

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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(8)

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• Optimization of market stochastic dynamics
• Application of the procedure of stochastic optimization to the problem of finding optimal portfolio
• Stochastic Partial Differential Equations and Portfolio Choice
• A Riemannian geometry underlying stochastic algorithm for log-optimal portfolio problem with risk control
• scientific article; zbMATH DE number 5012436 (Why is no real title available?)
• Optimal portfolio allocation of commodity related assets using a controlled forward-backward stochastic algorithm
• Computational Science - ICCS 2004

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