asset allocation portfolio management util with USA ETF (using FinanceDataReader)
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Oct 30, 2022 - Python
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dynamic-asset-allocation
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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.
utility monte-carlo-simulation portfolio-optimization dynamic-programming convex-optimization approximate-dynamic-programming financial-modeling dynamic-asset-allocation frictionless-market perfect-liquidity
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Jun 12, 2025 - Jupyter Notebook
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