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Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
Ma, Jingtang; Li, Wenyuan; Zheng, Harry - In: European journal of operational research : EJOR 262 (2017) 3, pp. 851-862
Persistent link: https://www.econbiz.de/10011802243
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Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model
Ma, Jingtang; Li, Wenyuan; Zheng, Harry - In: European journal of operational research : EJOR 280 (2020) 2, pp. 428-440
Persistent link: https://www.econbiz.de/10012132415
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Optimal investment with S-shaped utility and trading and Value at Risk constraints : an application to defined contribution pension plan
Dong, Yinghui; Zheng, Harry - In: European journal of operational research : EJOR 281 (2020) 2, pp. 341-356
Persistent link: https://www.econbiz.de/10012153681