Dynamic portfolio choice: a simulation-and-regression approach

DOI10.1007/S11081-017-9347-4zbMath1370.90306OpenAlexW2594545404MaRDI QIDQ2402578

Erick Delage, Michel Denault, Jean-Guy Simonato

Publication date: 8 September 2017

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11081-017-9347-4

zbMATH Keywords

dynamic programmingportfolio optimizationportfolio choiceleast-squares Monte Carlo methodssimulation-and-regression methods

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Dynamic programming (90C39) Portfolio theory (91G10)

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