Pages that link to "Item:Q846513"
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The following pages link to Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (Q846513):
Displaying 33 items.
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations (Q256114) (← links)
- Optimal trade execution: a mean quadratic variation approach (Q318882) (← links)
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
- Mean-variance portfolio selection of cointegrated assets (Q550847) (← links)
- Continuous time mean variance asset allocation: a time-consistent strategy (Q621709) (← links)
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach (Q1622505) (← links)
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor (Q1656373) (← links)
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation (Q1656758) (← links)
- An HJB approach to a general continuous-time mean-variance stochastic control problem (Q1756027) (← links)
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach (Q1994245) (← links)
- Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty (Q2122611) (← links)
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization (Q2219642) (← links)
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR (Q2338542) (← links)
- Investment strategies and compensation of a mean-variance optimizing fund manager (Q2514727) (← links)
- Convergence of the embedded mean-variance optimal points with discrete sampling (Q2634609) (← links)
- Continuous-time portfolio optimization for absolute return funds (Q2686278) (← links)
- COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS (Q2882690) (← links)
- Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns (Q3295874) (← links)
- High-order filtered schemes for time-dependent second order HJB equations (Q4579916) (← links)
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies (Q4584996) (← links)
- ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION (Q4595295) (← links)
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? (Q4971982) (← links)
- On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies (Q4988555) (← links)
- Optimal asset allocation for outperforming a stochastic benchmark target (Q5039625) (← links)
- Approximate solution of the Hamilton-Jacobi-Bellman equation (Q5080103) (← links)
- PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION (Q5157845) (← links)
- Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach (Q5407987) (← links)
- Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ (Q6112770) (← links)
- BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID (Q6141906) (← links)
- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach (Q6159077) (← links)
- Short communication: Monte Carlo expected wealth and risk measure trade-off portfolio optimization (Q6557366) (← links)
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment (Q6592281) (← links)
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping (Q6662399) (← links)
