Multi-period asset allocation by stochastic dynamic programming
From MaRDI portal
Publication:924425
DOI10.1016/j.amc.2007.09.055zbMath1134.91440MaRDI QIDQ924425
Publication date: 16 May 2008
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2007.09.055
stochastic dynamic programming; Bellman function; multi-period asset allocation; power utility; backward recursion algorithm; two-factor Vasicek model
90C15: Stochastic programming
93C95: Application models in control theory
93E20: Optimal stochastic control
91G10: Portfolio theory
Cites Work