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Dynamic portfolio choice: a simulation-and-regression approach - MaRDI portal

Dynamic portfolio choice: a simulation-and-regression approach (Q2402578)

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Dynamic portfolio choice: a simulation-and-regression approach
scientific article

    Statements

    title
    Dynamic portfolio choice: a simulation-and-regression approach (English)
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    author
    Michel Denault
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    Erick Delage
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    Jean-Guy Simonato
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    publication date
    8 September 2017
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    zbMATH Keywords
    simulation-and-regression methods
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    least-squares Monte Carlo methods
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    dynamic programming
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    portfolio choice
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    portfolio optimization
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    Identifiers

    Mathematics Subject Classification ID
    90C90
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    90C39
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    90C15
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    91G10
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    zbMATH DE Number
    6770914
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    OpenAlex ID
    W2594545404
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