Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation

DOI10.1007/s10614-008-9156-0zbMath1161.91392OpenAlexW2078883293MaRDI QIDQ1020548

Lorenzo Garlappi, Georgios Skoulakis

Publication date: 29 May 2009

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-008-9156-0

zbMATH Keywords

numerical solutionportfolio choicevalue function iteration

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05)

Related Items

Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions ⋮ Dynamic portfolio choice: a simulation-and-regression approach ⋮ Numerical solutions to dynamic portfolio problems with upper bounds ⋮ Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

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• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• An Intertemporal Capital Asset Pricing Model
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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