Multi-period asset allocation by stochastic dynamic programming (Q924425)
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scientific article; zbMATH DE number 5276018
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-period asset allocation by stochastic dynamic programming |
scientific article; zbMATH DE number 5276018 |
Statements
Multi-period asset allocation by stochastic dynamic programming (English)
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16 May 2008
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multi-period asset allocation
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stochastic dynamic programming
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Bellman function
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power utility
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two-factor Vasicek model
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backward recursion algorithm
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0.92896914
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0.91519344
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0.90946734
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0.89919096
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0.8940384
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0.8930303
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0.89007634
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