Multi-period asset allocation by stochastic dynamic programming (Q924425)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-period asset allocation by stochastic dynamic programming |
scientific article |
Statements
Multi-period asset allocation by stochastic dynamic programming (English)
0 references
16 May 2008
0 references
multi-period asset allocation
0 references
stochastic dynamic programming
0 references
Bellman function
0 references
power utility
0 references
two-factor Vasicek model
0 references
backward recursion algorithm
0 references
