Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
DOI10.1016/J.EJOR.2017.04.056zbMATH Open1376.91172OpenAlexW2610342222MaRDI QIDQ1683121FDOQ1683121
Authors: Jingtang Ma, Harry Zheng, Wen-Yuan Li 
Publication date: 6 December 2017
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/52972
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regime switchingMonte Carlo methodportfolio optimizationtight lower and upper boundsdual controlnon-HARA utilityYaari utility
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Optimal stochastic control (93E20)
Cites Work
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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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