GitHub / ramiuness / dynamic-asset-allocation
Implements a simulation-based dynamic programming framework for optimal portfolio allocation over multiple periods. Combines analytical solutions with approximate methods under CRRA and log utility, using Monte Carlo simulation, convex optimization, and value function approximation to compute optimal policies across time and wealth levels.
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PURL: pkg:github/ramiuness/dynamic-asset-allocation
Stars: 0
Forks: 0
Open issues: 0
License: None
Language: Jupyter Notebook
Size: 170 KB
Dependencies parsed at: Pending
Created at: about 2 months ago
Updated at: about 1 month ago
Pushed at: about 1 month ago
Last synced at: about 1 month ago
Topics: approximate-dynamic-programming, convex-optimization, dynamic-asset-allocation, dynamic-programming, financial-modeling, frictionless-market, monte-carlo-simulation, perfect-liquidity, portfolio-optimization, utility