Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (Q1683121)
From MaRDI portal
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
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
0 references
0 references
0 references
0 references
