Solving high-dimensional dynamic portfolio choice models with hierarchical B-splines on sparse grids
Peter Schober, Julian Valentin, Dirk Pflüger
| 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
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| 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 | Computernetz | Computer network |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-10061-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013168972