Advanced search
Start date
Betweenand

Merton Portfolio Optimization Through Optimal Stochastic Control

Grant number: 25/07615-8
Support Opportunities:Scholarships in Brazil - Scientific Initiation
Start date: August 01, 2025
End date: July 31, 2026
Field of knowledge:Applied Social Sciences - Economics - Quantitative Methods Applied to Economics
Principal Investigator:Luiz Koodi Hotta
Grantee:Guilherme Valverde Freiria
Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
Associated research grant:23/02538-0 - Time series, wavelets, high dimensional data and applications, AP.TEM

Abstract

Merton's (1971) portfolio optimization problem addresses the investor's decision regarding the optimal allocation of wealth between a risk-free asset and a risky asset, with the objective of maximizing the expected utility of future wealth. This project aims to provide an introduction to stochastic control through the study of the formulation and solution of this classical model, serving as a starting point for understanding the key concepts involved in the theory.To this end, fundamental topics such as the Dynamic Programming Principle (DPP) and the Hamilton-Jacobi-Bellman equation will be explored, as they are central tools in the analysis of optimal control problems. In addition, a review of essential concepts in financial markets and stochastic calculus will be conducted in order to provide the theoretical foundation necessary for understanding and formulating the portfolio optimization problem.Merton's model is widely recognized in the quantitative finance literature and serves as the basis for the formulation and solution of various other financial problems. This work aims to develop both the mathematical understanding and the theoretical intuition behind this fundamental model. (AU)

News published in Agência FAPESP Newsletter about the scholarship:
More itemsLess items
Articles published in other media outlets ( ):
More itemsLess items
VEICULO: TITULO (DATA)
VEICULO: TITULO (DATA)