Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
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Publication:5407987
DOI10.1002/NUM.21836zbMATH Open1284.91569OpenAlexW2324833241MaRDI QIDQ5407987FDOQ5407987
Authors: D. M. Dang, P. A. Forsyth 
Publication date: 8 April 2014
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.21836
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Numerical optimization and variational techniques (65K10) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Integro-partial differential equations (45K05)
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Cited In (25)
- A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- Short communication: Monte Carlo expected wealth and risk measure trade-off portfolio optimization
- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
- Convergence of the embedded mean-variance optimal points with discrete sampling
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- The 4\% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
- A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Optimal market making under partial information with general intensities
- Optimal asset allocation for outperforming a stochastic benchmark target
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
- Optimal liquidation under partial information with price impact
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- Robust asset allocation for long-term target-based investing
- Management of portfolio depletion risk through optimal life cycle asset allocation
- Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
- Optimal asset allocation for DC pension decumulation with a variable spending rule
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