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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