Solving high-dimensional dynamic portfolio choice models with hierarchical B-splines on sparse grids
Year of publication: |
2022
|
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Authors: | Schober, Peter ; Valentin, Julian ; Pflüger, Dirk |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 59.2022, 1, p. 185-224
|
Subject: | Curse of dimensionality | Dynamic portfolio choice | Discrete time dynamic programming | Gradient-based optimization | Spatially adaptive sparse grids | Hierarchical B-splines | Portfolio-Management | Portfolio selection | Theorie | Theory | Dynamische Optimierung | Dynamic programming | Mathematische Optimierung | Mathematical programming |
Description of contents: | Description [doi.org] |
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Solving High-Dimensional Dynamic Portfolio Choice Models with Hierarchical B-Splines on Sparse Grids
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