A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is application/pdf
.
Optimizing dynamic portfolio selection
2009
In this dissertation, a control-theoretic decision model is proposed for an agent to "optimally" allocate and deploy its financial resources over time among a dynamically changing list of opportunities (e.g., financial assets), in an uncertain market environment. This control-theoretic approach is unique in the sense that it solves the problem at distinct time epochs over a finite time horizon. The solution is a sequence of actions with the objective of optimizing a reward function over that
doi:10.7282/t3125st8
fatcat:us2u6yybsbd43htrluaaubp77q