Asset pricing with dynamic programming
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Publication:2642596
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Cites work
- A numerical approach to the infinite horizon problem of deterministic control theory
- Accuracy of stochastic perturbation methods: The case of asset pricing models
- Adaptive spline interpolation for Hamilton-Jacobi-Bellman equations
- Algorithms for solving dynamic models with occasionally binding constraints
- An adaptive grid scheme for the discrete Hamilton-Jacobi-Bellman equation
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- An optimal one-way multigrid algorithm for discrete-time stochastic control
- Analysis of a Numerical Dynamic Programming Algorithm Applied to Economic Models
- Asset Prices in an Exchange Economy
- Asset Prices, Booms and Recessions
- Asset pricing with loss aversion
- Asymptotic methods for aggregate growth models
- Comparing accuracy of second-order approximation and dynamic programming
- Convergence Analysis for a Class of High-Order Semi-Lagrangian Advection Schemes
- Do CAPM results hold in a dynamic economy? A numerical analysis
- Habit formation, catching up with the Joneses, and economic growth
- scientific article; zbMATH DE number 1099379 (Why is no real title available?)
- scientific article; zbMATH DE number 1099381 (Why is no real title available?)
- Numerical Solution of Continuous-State Dynamic Programs Using Linear and Spline Interpolation
- Optimal Growth with Intertemporally Dependent Preferences
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
- Solving dynamic general equilibrium models using a second-order approximation to the policy function
- Solving higher-dimensional continuous-time stochastic control problems by value function regression
- SPLINE APPROXIMATIONS TO VALUE FUNCTIONS
- Splines and efficiency in dynamic programming
- Using dynamic programming with adaptive grid scheme for optimal control problems in economics
- Using Randomization to Break the Curse of Dimensionality
- Variable resolution discretization in optimal control
Cited in
(10)- The equity premium in Brock's asset pricing model
- Do CAPM results hold in a dynamic economy? A numerical analysis
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
- On the relationship of the dynamic programing approach and the contingent claim approach to asset valuation
- Computational aspects of prospect theory with asset pricing applications
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
- Asset pricing with loss aversion
- Asset pricing and productivity growth: The role of consumption scenarios
- Dynamic asset pricing with non-redundant forwards
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