RT info:eu-repo/semantics/bachelorThesis
T1 Optimización dinámica de carteras de inversión en tiempo continuo
A1 Carpintero Gutiérrez, Enrique
A2 Universidad de Valladolid. Facultad de Ciencias
K1 Inversión-consumo
K1 Optimización dinámica
K1 Ecuaciones HJB
AB In this paper, the problem of dynamic optimization of investment portfoliosis presented as a stochastic control problem. The problem is to distribute acapital between one or more financial assets in order to maximize a utilityfunction of final wealth or a utility of consumption, throughout a planning interval.The problem is solved with the dynamic programming approach. Twodifferent models are analyzed: the classic Merton investment-consumptionmodel and a pension plan model where the risky assets are stochastic processeswith constant elasticity of variance. The second model uses real datafrom the IBEX 35 and compares two investment periods.
YR 2020
FD 2020
LK http://uvadoc.uva.es/handle/10324/43783
UL http://uvadoc.uva.es/handle/10324/43783
LA spa
DS UVaDOC
RD 17-jul-2024