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~subject:"Portfolio-Management"
~subject:"Value function iteration"
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Portfolio-Management
Value function iteration
Theorie
19
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16
value function iteration
16
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14
Dynamische Optimierung
12
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12
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11
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envelope condition method
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Cai, Yongyang
6
Maliar, Lilia
5
Maliar, Serguei
5
Judd, Kenneth
3
Judd, Kenneth L.
3
Broadie, Mark
2
Pál, Jenő
2
Shen, Weiwei
2
Stachurski, John
2
Thain, Greg
2
Arapakis, Karolos
1
Arellano, Cristina
1
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1
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1
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1
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1
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1
Kirkby, Robert
1
Maußner, Alfred
1
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1
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Department of Economics, Brigham Young University
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Instituto Valenciano de Investigaciones Económicas (IVIE)
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ECONIS (ZBW)
11
RePEc
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1
A method to pre-compile numerical integrals when solving stochastic dynamic problems
Arapakis, Karolos
- In:
Computational economics
61
(
2023
)
2
,
pp. 593-610
Persistent link: https://www.econbiz.de/10014228454
Saved in:
2
Envelope Condition Method with an Application to Default Risk Models
Arellano, Cristina
;
Maliar, Lilia
;
Maliar, Serguei
; …
-
Department of Economics, Brigham Young University
-
2014
conventional
value
function
iteration
. ECM has two novel features: First, to reduce the cost, ECM replaces expensive backward …
Persistent link: https://www.econbiz.de/10011273937
Saved in:
3
Envelope condition method versus endogenous grid method for solving dynamic programming problems
Maliar, Lilia
;
Maliar, Serguei
-
Instituto Valenciano de Investigaciones Económicas (IVIE)
-
2013
implement, dominates conventional
value
function
iteration
and is comparable in accuracy and cost to Carroll’s (2005) endogenous …
Persistent link: https://www.econbiz.de/10010698652
Saved in:
4
Convergence of discretized
value
function
iteration
Kirkby, Robert
- In:
Computational economics
49
(
2017
)
1
,
pp. 117-153
Persistent link: https://www.econbiz.de/10011751819
Saved in:
5
Numerical solutions to dynamic portfolio problems with upper bounds
Broadie, Mark
;
Shen, Weiwei
- In:
Computational Management Science : CMS
14
(
2017
)
2
,
pp. 215-227
Persistent link: https://www.econbiz.de/10011710759
Saved in:
6
A recursive method for solving a climate-economy model : value function iterations with logarithmic approximations
Hwang, In Chang
- In:
Computational economics
50
(
2017
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10011762215
Saved in:
7
High-dimensional portfolio optimization with transaction costs
Broadie, Mark
;
Shen, Weiwei
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-49
Persistent link: https://www.econbiz.de/10011523840
Saved in:
8
Hybrid perturbation-projection method for solving DSGE asset pricing models
Chen, Yuanyuan
;
Fowler, Stuart
- In:
Computational economics
48
(
2016
)
4
,
pp. 649-667
Persistent link: https://www.econbiz.de/10011713096
Saved in:
9
Solving Dynamic Programming Problems on a Computational Grid
Cai, Yongyang
;
Judd, Kenneth
;
Thain, Greg
;
Wright, Stephen
- In:
Computational Economics
45
(
2015
)
2
,
pp. 261-284
computing platform, which can be deployed on many networks. We implement
value
function
iteration
for large dynamic programming …
Persistent link: https://www.econbiz.de/10011155112
Saved in:
10
Solving dynamic programming problems on a computational grid
Cai, Yongyang
;
Judd, Kenneth L.
;
Thain, Greg
;
Wright, …
- In:
Computational economics
45
(
2015
)
2
,
pp. 261-284
Persistent link: https://www.econbiz.de/10011325717
Saved in:
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