The objective of the portfolio theory is to build a model able to set an optimal consumption and investment strategy. The investor has to maximize his intertemporal utility from intermediate consumption and final wealth, given an initial positive capital. The investor can trade risky and risk-free assets and has to decide in every time how much consume and the residual capital allocation between risky and risk free assets to reach utility maximization. This note aims to introduce the stochastic processes modeling asset prices dynamics and the stochastic control methods avalable to solve the problem.
|Titolo:||La scelta del portafoglio in tempo continuo|
PIZZUTTO, GIORGIO ANDREA (Primo)
|Settore Scientifico Disciplinare:||Settore SECS-P/02 - Politica Economica|
|Data di pubblicazione:||giu-2008|
|Tipologia:||Book Part (author)|
|Appare nelle tipologie:||03 - Contributo in volume|