Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
Jingtang Ma, Wenyuan Li, Harry Zheng
| Year of publication: |
1 November 2017
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| Authors: | Ma, Jingtang ; Li, Wenyuan ; Zheng, Harry |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 262.2017, 3 (1.11.), p. 851-862
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| Subject: | Portfolio optimization | Regime switching | Dual control | Non-HARA utility | Yaari utility | Tight lower and upper bounds | Monte-Carlo method | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Nutzen | Utility | Markov-Kette | Markov chain |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.04.056 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011802243