Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions

DOI10.1016/j.cor.2016.09.022zbMath1395.91400OpenAlexW2528221399MaRDI QIDQ1652164

Michel Denault, Jean-Guy Simonato

Publication date: 11 July 2018

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2016.09.022

zbMATH Keywords

portfolio optimizationapproximate dynamic programmingleast-squares Monte Carlodynamic portfolio choicessimulation-and-regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Dynamic programming (90C39) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (6)

Robust utility maximization under model uncertainty via a penalization approach ⋮ Dynamic portfolio choice: a simulation-and-regression approach ⋮ Optimal liquidation through a limit order book: a neural network and simulation approach ⋮ Dynamic Optimization of Investment Portfolio under Liquidity with Taylor Extension of Value function ⋮ Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach ⋮ Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

Cites Work

• Unnamed Item
• Assessing the least squares Monte-Carlo approach to American option valuation
• Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Pricing American-style securities using simulation
• Strategic asset allocation
• Solving a savings allocation problem by numerical dynamic programming with shape-preserving interpolation
• Valuing pilot projects in a learning by investing framework: an approximate dynamic programming approach
• Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
• Consumption and Portfolio Decisions when Expected Returns are Time Varying

This page was built for publication: Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions