Materials on the Risk-Neutral Computational Approach (Portfolio Optimization)
In the attached file (here) you will find notes on the risk-neutral computational approach to portfolio optimization. The example with two assets is explained step-by-step, including how to derive the optimal terminal wealth and determine the trading strategy that generates it. The calculations of the Lagrange multiplier and the resulting optimal utility are also provided.
Please review this material carefully
Published Nov. 10, 2025 2:39 PM
- Last modified Nov. 10, 2025 2:39 PM