Merton portfolio optimization problem

Detalhes bibliográficos
Ano de defesa: 2017
Autor(a) principal: Soares, Gustavo Adolfo Martins Jotta
Orientador(a): Saporito, Yuri Fahham
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: eng
Instituição de defesa: Não Informado pela instituição
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Inglês:
Merton
DPP
HJB
Link de acesso: http://hdl.handle.net/10438/24815
Resumo: Merton’s portfolio optimization problem is the choice an investor must make of how much of its wealth it should consume and how much it should allocate between stocks and a risk-free asset in order to maximize the expected utility. The focus of this work was to solve two of the cases of the Merton problem. For this, we studied some fundamental themes, such as: Dynamic Principle Programming (DPP) and the Hamilton-Jacobi-Bellmann Equation (HJB Equation). In addition, we review some concepts of Stochastic Processes and some important results of Itô Calculus. Merton’s portfolio optimization problem is well known in finance and the central ideas for solving it are adaptable to solving other finance problems.
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spelling Soares, Gustavo Adolfo Martins JottaEscolas::EMApCansino, Hugo Alexander de la CruzOliveira, Roberto ImbuzeiroSaporito, Yuri Fahham2018-09-27T14:22:41Z2018-09-27T14:22:41Z2017http://hdl.handle.net/10438/24815Merton’s portfolio optimization problem is the choice an investor must make of how much of its wealth it should consume and how much it should allocate between stocks and a risk-free asset in order to maximize the expected utility. The focus of this work was to solve two of the cases of the Merton problem. For this, we studied some fundamental themes, such as: Dynamic Principle Programming (DPP) and the Hamilton-Jacobi-Bellmann Equation (HJB Equation). In addition, we review some concepts of Stochastic Processes and some important results of Itô Calculus. Merton’s portfolio optimization problem is well known in finance and the central ideas for solving it are adaptable to solving other finance problems.engMertonDPPHJBMatemáticaMatemática financeiraInvestimentos - AnáliseMerton, Modelo deMerton portfolio optimization probleminfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis2018-06-25reponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTfgv_dissertacao_gustavo_VF.pdf.txtfgv_dissertacao_gustavo_VF.pdf.txtExtracted texttext/plain78018https://repositorio.fgv.br/bitstreams/a08ddc31-ee93-4b8f-a833-ff0872c7c40d/downloadf32f58dd595a875e40e1ceb400b7223bMD55ORIGINALfgv_dissertacao_gustavo_VF.pdffgv_dissertacao_gustavo_VF.pdfDissertação completa - versão 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dc.title.eng.fl_str_mv Merton portfolio optimization problem
title Merton portfolio optimization problem
spellingShingle Merton portfolio optimization problem
Soares, Gustavo Adolfo Martins Jotta
Merton
DPP
HJB
Matemática
Matemática financeira
Investimentos - Análise
Merton, Modelo de
title_short Merton portfolio optimization problem
title_full Merton portfolio optimization problem
title_fullStr Merton portfolio optimization problem
title_full_unstemmed Merton portfolio optimization problem
title_sort Merton portfolio optimization problem
author Soares, Gustavo Adolfo Martins Jotta
author_facet Soares, Gustavo Adolfo Martins Jotta
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EMAp
dc.contributor.member.none.fl_str_mv Cansino, Hugo Alexander de la Cruz
Oliveira, Roberto Imbuzeiro
dc.contributor.author.fl_str_mv Soares, Gustavo Adolfo Martins Jotta
dc.contributor.advisor1.fl_str_mv Saporito, Yuri Fahham
contributor_str_mv Saporito, Yuri Fahham
dc.subject.eng.fl_str_mv Merton
DPP
HJB
topic Merton
DPP
HJB
Matemática
Matemática financeira
Investimentos - Análise
Merton, Modelo de
dc.subject.area.por.fl_str_mv Matemática
dc.subject.bibliodata.por.fl_str_mv Matemática financeira
Investimentos - Análise
Merton, Modelo de
description Merton’s portfolio optimization problem is the choice an investor must make of how much of its wealth it should consume and how much it should allocate between stocks and a risk-free asset in order to maximize the expected utility. The focus of this work was to solve two of the cases of the Merton problem. For this, we studied some fundamental themes, such as: Dynamic Principle Programming (DPP) and the Hamilton-Jacobi-Bellmann Equation (HJB Equation). In addition, we review some concepts of Stochastic Processes and some important results of Itô Calculus. Merton’s portfolio optimization problem is well known in finance and the central ideas for solving it are adaptable to solving other finance problems.
publishDate 2017
dc.date.issued.fl_str_mv 2017
dc.date.accessioned.fl_str_mv 2018-09-27T14:22:41Z
dc.date.available.fl_str_mv 2018-09-27T14:22:41Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/24815
url http://hdl.handle.net/10438/24815
dc.language.iso.fl_str_mv eng
language eng
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