https://github.com/crodriguezvega/risk-sensitive-control

Risk-sensitive asset management simulation in Matlab.
https://github.com/crodriguezvega/risk-sensitive-control

asset-management hamilton-jacobi-bellman matlab stochastic-control

Last synced: about 2 months ago
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Risk-sensitive asset management simulation in Matlab.

• Host: GitHub
• URL: https://github.com/crodriguezvega/risk-sensitive-control
• Owner: crodriguezvega
• Created: 2014-03-21T12:20:11.000Z (about 11 years ago)
• Default Branch: master
• Last Pushed: 2015-11-08T11:47:34.000Z (over 9 years ago)
• Last Synced: 2025-04-12T13:19:36.611Z (about 2 months ago)
• Topics: asset-management, hamilton-jacobi-bellman, matlab, stochastic-control
• Language: Matlab
• Size: 1.6 MB
• Stars: 4
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
Risk-sensitive optimal asset management in Matlab

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Matlab classes to simulate the HJB (Hamilton-Jacobi-Bellman) equation arising from the stochastic control problem in [this](http://arxiv.org/abs/1001.1379 "Research paper") research paper by Mark Davis and Sebastien Lleo. This code was written as part of my thesis for the [MSc in Mathematical Finance](http://maths.york.ac.uk/www/onlinemscmathfin "MSc in Mathematical Finance") from the University of York.

Usage

=====

See example files provided in folder `samples`. The result of executing the 2-factor example produces the following grahs:

![Alt text](/samples/2-factor/screenshot.png "2-factor risk-sensitive optimal control")