Numerical solutions to dynamic portfolio problems with upper bounds

DOI10.1007/S10287-016-0270-5MaRDI QIDQ1789606zbMATH OpenOpenAlexFDO

Authors Weiwei Shen, Mark Broadie

Publication date 10 October 2018

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-016-0270-5

zbMATH Keywords

lower and upper boundsdynamic portfolio choicevalue function iteration

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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Cites work

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• Information relaxations and duality in stochastic dynamic programs
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• Optimum consumption and portfolio rules in a continuous-time model
• Pathwise Stochastic Optimal Control
• Pricing American Options: A Duality Approach
• Risk estimation via regression
• Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• Valuing American options by simulation: a simple least-squares approach

Cited in

(10)

• Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
• Numerical method for optimal portfolio in an exponential utility regime-switching model
• Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints
• A method for solution of the Cauchy problem with polynomial coefficients and some applications to problems on management of investment portfolios
• scientific article; zbMATH DE number 5008178 (Why is no real title available?)
• Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions
• Numerical schemes for variational inequalities arising in international asset pricing
• Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation
• A two-period model with portfolio choice: understanding results from different solution methods
• scientific article; zbMATH DE number 1981778 (Why is no real title available?)

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