New Models And Methods In Dynamic Portfolio Optimization (Series in Quantitative Finance) - Hardcover

Bo, Lijun; Yu, Xiang

Hardcover

ISBN 10: 9811280568 ISBN 13: 9789811280566

Publisher: WSPC, 2025

Synopsis

This 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. These 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. The 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. For 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. The 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.

About this title

About the Authors

Lijun Bo obtained his PhD from Nankai University. He is currently a Professor of Probability at the School of Mathematics and Statistics, Xidian University, Xi'an, China. He was also a visiting professor at the Department of Probability and Statistics, USTC. He serves as the vice director of Shaanxi Society for Industrial and Applied Mathematics and China Society of Engineering Probability and Statistics. He is an associate editor for the Journal of Dynamics and Games (AIMS) and Chinese Journal of Applied Probability and Statistics. His research interests are in applied probability, stochastic control, mean field games, and portfolio optimization. His research has been published in major journals of his field, including Ann. Appl. Probab., Stoch. Process. Appl., Math. Opers. Res., SIAM J. Contr. Optim., SIAM J. Finan. Math., Math. Finan., Finan. & Stoch., J. Banking & Finan., and Queueing Syst. He has been funded by the Natural Science Foundation of China (3 grants), the Key Research Program of Frontier Sciences of the CAS and National Center for Applied Mathematics in Shaanxi.

Xiang Yu obtained his PhD from the University of Texas at Austin. He is currently an Associate Professor in the Department of Applied Mathematics at the Hong Kong Polytechnic University. His research interests lie primarily in mathematical finance, applied probability and stochastic analysis, stochastic control and optimization. He has publications in Math. Finance, Finance & Stoch., Ann. Appl. Probab., Math. Opers. Res, SIAM J. Contr. Optim., and Stoch. Process. Appl.

Edition details

• Publisher: WSPC
• Publication date: 2025
• Language: English
• ISBN 10: 9811280568
• ISBN 13: 9789811280566
• Binding: Hardcover
• Number of pages: 344