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A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
Denault, Michel; Simonato, Jean-Guy; Stentoft, Lars - In: Computers & operations research : and their … 40 (2013) 11, pp. 2760-2769
Persistent link: https://www.econbiz.de/10009785342
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Dynamic portfolio choices by simulation-and-regression : revisiting the issue of value function vs portfolio weight recursions
Denault, Michel; Simonato, Jean-Guy - In: Computers & operations research : and their … 79 (2017), pp. 174-189
Persistent link: https://www.econbiz.de/10011672956
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A note on a dynamic goal-based wealth management problem
Denault, Michel; Simonato, Jean-Guy - In: Finance research letters 46 (2022) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10013341774
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Multiperiod portfolio allocation : a study of volatility clustering, non-normalities and predictable returns
Simonato, Jean-Guy; Denault, Michel - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014486271
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Optimal hedging when the underlying asset follows a regime-switching Markov process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European Journal of Operational Research 237 (2014) 1, pp. 312-322
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a general regime-switching framework. A numerical algorithm based on backward recursion allows for the sequential construction of an optimal...
Persistent link: https://www.econbiz.de/10011097768
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Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - Centre Interuniversitaire sur le Risque, les Politiques … - 2012
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a general regime-switching framework. A numerical algorithm based on backward recursion allows for the sequential construction of an optimal...
Persistent link: https://www.econbiz.de/10010568418
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Optimal hedging when the underlying asset follows a regime-switching Markov process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European journal of operational research : EJOR 237 (2014) 1, pp. 312-322
Persistent link: https://www.econbiz.de/10010378599