Numerical solutions to dynamic portfolio problems with upper bounds

DOI10.1007/s10287-016-0270-5zbMath1416.91399OpenAlexW2567803975MaRDI QIDQ1789606

Weiwei Shen, Mark N. Broadie

Publication date: 10 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-016-0270-5

zbMATH Keywords

lower and upper boundsdynamic portfolio choicevalue function iteration

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Portfolio theory (91G10)

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