Solving dynamic portfolio choice models in discrete time using spatially adaptive sparse grids

DOI10.1007/978-3-319-75426-0_7zbMath1405.91571OpenAlexW2809645770MaRDI QIDQ1716022

Peter Schober

Publication date: 29 January 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-75426-0_7

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Decision theory (91B06) Dynamic programming (90C39) Portfolio theory (91G10)

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