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Chapter 8. Advances in Numerical Dynamic Programming and New Applications

Cai, Yongyang; Judd, Kenneth L. - In: Handbook of computational economics : volume 3, (pp. 479-516). 2014

Dynamic programming is the essential tool in dynamic economic analysis. Problems such as portfolio allocation for individuals and optimal economic growth are typical examples. Numerical methods typically approximate the value function. Recent work has focused on making numerical methods more...

Persistent link: https://www.econbiz.de/10014025714

Index tracking with utility enhanced weighting

Clark, Ephraim; Deshmukh, Nitin; Güran, Celal Barkan; … - In: Quantitative finance 19 (2019) 11, pp. 1893-1904

Persistent link: https://www.econbiz.de/10012195663

Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics

Junca, Mauricio; Serrano, Rafael - In: Mathematics and financial economics 15 (2021) 4, pp. 775-809

Persistent link: https://www.econbiz.de/10012616858

Pandemic portfolio choice

Kraft, Holger; Weiss, Farina - In: European journal of operational research : EJOR 305 (2023) 1, pp. 451-462

Persistent link: https://www.econbiz.de/10013479223

Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility

Zhao, Hui; Wang, Suxin - In: European journal of operational research : EJOR 301 (2022) 3, pp. 1166-1180

Persistent link: https://www.econbiz.de/10013267832

Optimal investments for the standard maximization problem with non-concave utility function in complete market model

Bahchedjioglou, Olena; Shevchenko, Georgiy - In: Mathematical methods of operations research : ZOR 95 (2022) 1, pp. 163-181

Persistent link: https://www.econbiz.de/10013184230

Portfolio optimization under nonlinear utility

Heyne, Gregor; Kupper, Michael; Tangpi, Ludovic - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-37

Persistent link: https://www.econbiz.de/10011524910

Theory matters for financial advice!

Hens, Thorsten; Mayer, János - 2014

theories we apply are mean-variance analysis, expected utility analysis and cumulative prospect theory …We show that the optimal asset allocation for an investor depends crucially on the theory with which the investor is …

Persistent link: https://www.econbiz.de/10010338686

Measure of investment optimal strategy

Eghwerido, J. T.; Ekuma-Okereke, E.; Efe-Eyefia, E.; … - In: Journal of mathematical finance 6 (2016) 2, pp. 269-274

Persistent link: https://www.econbiz.de/10011544457

Portfolio optimization with disutility-based risk measure

Fulga, Cristinca - In: European journal of operational research : EJOR 251 (2016) 2, pp. 541-553

Persistent link: https://www.econbiz.de/10011444347