Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
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Publication:846513
DOI10.1016/J.JEDC.2009.09.002zbMATH Open1182.91161OpenAlexW2076213360MaRDI QIDQ846513FDOQ846513
Authors: J. Wang, P. A. Forsyth 
Publication date: 9 February 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2009.09.002
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Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Linear-quadratic optimal control problems (49N10) Finite difference methods for boundary value problems involving PDEs (65N06) Optimal stochastic control (93E20)
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Cited In (35)
- Short communication: Monte Carlo expected wealth and risk measure trade-off portfolio optimization
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
- Comparison of mean variance like strategies for optimal asset allocation problems
- An HJB approach to a general continuous-time mean-variance stochastic control problem
- Continuous time mean variance asset allocation: a time-consistent strategy
- Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints
- BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- Mean-variance portfolio selection of cointegrated assets
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
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- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem
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- Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
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- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
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- Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty
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