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Méthodes de Contrôle Stochastique pour la Gestion Optimale de Portefeuille

Abstract : This PhD dissertation presents three independent research topics, the third one being divided into two distinct problems. Those topics all use stochastic control methods in order to solve optimal investment problems. In a first part, we consider a financial model which includes capital gains taxes. In a second part, we study a problem in which we want to detect the maximum of a mean-reverting process. In the third and fourth parts, we consider an optimal investment problem in which the agents take a look at their peers. Finally, in a fifth part, we study a variation of the previous problem, including a penalization component instead of constraints on admissible portfolios.
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Contributor : Gilles-Edouard Espinosa Connect in order to contact the contributor
Submitted on : Tuesday, August 31, 2010 - 12:24:06 PM
Last modification on : Wednesday, March 27, 2019 - 4:08:30 PM
Long-term archiving on: : Tuesday, October 23, 2012 - 3:20:26 PM


  • HAL Id : pastel-00512703, version 1



Gilles-Edouard Espinosa. Méthodes de Contrôle Stochastique pour la Gestion Optimale de Portefeuille. Optimisation et contrôle [math.OC]. Ecole Polytechnique X, 2010. Français. ⟨pastel-00512703⟩



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