Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization

DOI10.1016/j.ejor.2017.04.056zbMath1376.91172OpenAlexW2610342222MaRDI QIDQ1683121

Harry Zheng, Jingtang Ma, Wen-Yuan Li

Publication date: 6 December 2017

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/52972

zbMATH Keywords

regime switchingMonte Carlo methodportfolio optimizationtight lower and upper boundsdual controlnon-HARA utilityYaari utility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (7)

Optimal investment strategies for general utilities under dynamic elasticity of variance models ⋮ Optimal reinsurance-investment with loss aversion under rough Heston model ⋮ Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization ⋮ Near-optimal asset allocation in financial markets with trading constraints ⋮ Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model ⋮ A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model ⋮ A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility

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