Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation
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Cites work
- An Intertemporal Capital Asset Pricing Model
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- scientific article; zbMATH DE number 1241609 (Why is no real title available?)
- Normal moments and Hermite polynomials
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
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- Some statistical applications of Faa di Bruno
- Strategic asset allocation
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- Valuing American options by simulation: a simple least-squares approach
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(8)- Numerical solution by iterative methods of a class of vintage capital models
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- A method for solution of the Cauchy problem with polynomial coefficients and some applications to problems on management of investment portfolios
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