May 27, 2024  
2023-2024 Graduate Catalog 
2023-2024 Graduate Catalog

ECON 647 - Optimal Portfolio Choice

A survey in discrete and continuous time using analytical and numerical techniques. Topics include dynamic programming, martingale methods, robustness, and the Malliavin calculus.

Prerequisites & Notes
PRQ: CSCI 501 and ECON 591; or consent of department.

Credits: 3