Binsbergen, Jules; Brandt, Michael - In: Computational Economics 29 (2007) 3, pp. 355-367
Most dynamic programming methods deployed in the portfolio choice literature involve recursions on an approximated value function. The simulation-based method proposed recently by Brandt, Goyal, Santa-Clara, and Stroud (Review of Financial Studies, 18, 831–873, 2005), relies instead on...