diam0voi

"""
Stochastic Programming Portfolio Optimization

This script demonstrates a simple two-asset portfolio choice problem under uncertainty,
solved via Monte Carlo simulation. At each discrete time step 't',
an investor decides what fraction of wealth 'u' to allocate to a risky asset,
with the rest going to a risk-free asset.

Here xi ~ N(0, sd²) represents a noisy signal about the stock’s excess return.