Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?

DOI10.1007/s10614-006-9073-zzbMath1161.91413OpenAlexW1976417860MaRDI QIDQ2642605

Jules H. van Binsbergen, Michael W. Brandt

Publication date: 17 August 2007

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-006-9073-z

zbMATH Keywords

dynamic portfolio choicesimulation method

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (12)

Strategic asset allocation and market timing: a reinforcement learning approach ⋮ Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions ⋮ Rule-based strategies for dynamic life cycle investment ⋮ Dynamic portfolio choice: a simulation-and-regression approach ⋮ MULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION ⋮ A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function ⋮ Numerical solutions to dynamic portfolio problems with upper bounds ⋮ HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS ⋮ Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation ⋮ Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection ⋮ Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach ⋮ Multiperiod mean absolute deviation uncertain portfolio selection with real constraints

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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