Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (Q1683121): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Turnpike property and convergence rate for an investment model with general utility functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: HARA frontiers of optimal portfolios in stochastic markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio optimization in a regime-switching market with derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Regime-Switching Model of Long-Term Stock Returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio choice for unobservable and regime-switching mean returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: Methods for Pricing American Options under Regime Switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4368791 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time stochastic control and optimization with financial applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio optimization with unobservable Markov-modulated drift process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Dual Theory of Choice under Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Near-Optimal Selling Rule for a Two-Time-Scale Market Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model / rank
 
Normal rank

Latest revision as of 19:37, 14 July 2024

scientific article
Language Label Description Also known as
English
Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
scientific article

    Statements

    Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (English)
    0 references
    0 references
    0 references
    0 references
    6 December 2017
    0 references
    portfolio optimization
    0 references
    regime switching
    0 references
    dual control
    0 references
    non-HARA utility
    0 references
    Yaari utility
    0 references
    tight lower and upper bounds
    0 references
    Monte Carlo method
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references