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Risk-sensitive optimal asset management in Matlab

Matlab classes to simulate the HJB (Hamilton-Jacobi-Bellman) equation arising from the stochastic control problem in this research paper by Mark Davis and Sebastien Lleo. This code was written as part of my thesis for the MSc in Mathematical Finance from the University of York.

Usage

See example files provided in folder samples. The result of executing the 2-factor example produces the following grahs:

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