Numerical solutions to dynamic portfolio problems with upper bounds

Mark Broadie, Weiwei Shen

Year of publication:	April 2017
Authors:	Broadie, Mark ; Shen, Weiwei
Published in:	Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 14.2017, 2, p. 215-227
Subject:	Dynamic portfolio choice \| Value function iteration \| Lower and upper bounds \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming

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