Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (Q1683121)
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scientific article; zbMATH DE number 6816186
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| English | Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization |
scientific article; zbMATH DE number 6816186 |
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Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (English)
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6 December 2017
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portfolio optimization
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regime switching
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dual control
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non-HARA utility
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Yaari utility
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tight lower and upper bounds
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Monte Carlo method
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0.8386509418487549
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0.7613117694854736
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0.7563775181770325
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0.7551634907722473
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0.7402653098106384
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