Pages that link to "Item:Q1683121"
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The following pages link to Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (Q1683121):
Displayed 7 items.
- A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility (Q2112716) (← links)
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization (Q2219642) (← links)
- Near-optimal asset allocation in financial markets with trading constraints (Q2242286) (← links)
- Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) (← links)
- A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model (Q2315816) (← links)
- Optimal investment strategies for general utilities under dynamic elasticity of variance models (Q4554502) (← links)
- Optimal reinsurance-investment with loss aversion under rough Heston model (Q6101023) (← links)