Dynamic portfolio choices by simulation-and-regression : revisiting the issue of value function vs portfolio weight recursions
Michel Denault, Jean-Guy Simonato
| Year of publication: |
March 2017
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| Authors: | Denault, Michel ; Simonato, Jean-Guy |
| Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 79.2017, p. 174-189
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| Subject: | Dynamic portfolio choices | Portfolio optimization | Approximate Dynamic Programming | Least-squares Monte Carlo | Simulation-and-regression | Portfolio-Management | Portfolio selection | Theorie | Theory | Dynamische Optimierung | Dynamic programming | Monte-Carlo-Simulation | Monte Carlo simulation | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2016.09.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011672956