Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
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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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Cites work
- scientific article; zbMATH DE number 4205918 (Why is no real title available?)
- scientific article; zbMATH DE number 1069620 (Why is no real title available?)
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Cited in
(35)- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
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- Short communication: Monte Carlo expected wealth and risk measure trade-off portfolio optimization
- 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
- Mean-variance portfolio selection of cointegrated assets
- BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- 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
- Optimal trade execution: a mean quadratic variation approach
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Convergence of the embedded mean-variance optimal points with discrete sampling
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
- Approximate solution of the Hamilton-Jacobi-Bellman equation
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- High-order filtered schemes for time-dependent second order HJB equations
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
- A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem
- Investment strategies and compensation of a mean-variance optimizing fund manager
- Optimal asset allocation for outperforming a stochastic benchmark target
- Continuous-time portfolio optimization for absolute return funds
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
- 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
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty
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