Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
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Cites work
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- A Near-Optimal Selling Rule for a Two-Time-Scale Market Model
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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- Continuous-time stochastic control and optimization with financial applications
- HARA frontiers of optimal portfolios in stochastic markets
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Methods for pricing American options under regime switching
- Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Portfolio optimization in a regime-switching market with derivatives
- Portfolio optimization with unobservable Markov-modulated drift process
- STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA
- Smooth value functions for a class of nonsmooth utility maximization problems
- The Dual Theory of Choice under Risk
- Turnpike property and convergence rate for an investment model with general utility functions
Cited in
(10)- Optimal reinsurance-investment with loss aversion under rough Heston model
- A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
- A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Optimal investment strategies for general utilities under dynamic elasticity of variance models
- Near-optimal asset allocation in financial markets with trading constraints
- Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model
- Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- Optimal harvesting policy of an inland fishery resource under incomplete information
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