Numerical methods for portfolio selection with bounded constraints

DOI10.1016/J.CAM.2009.08.055zbMath1180.91276OpenAlexW2012865762MaRDI QIDQ732165

Hanqing Jin, Zhuo Jin, G. George Yin

Publication date: 9 October 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.08.055

zbMATH Keywords

numerical methodstochastic controlportfolio selectionMarkov chain approximationbounded constraint

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Portfolio theory (91G10)

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A quantitative description of complex adaptive system: the self-adaptive mechanism of the material purchasing management system towards the changing environment ⋮ Lookback option pricing for regime-switching jump diffusion models ⋮ Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation ⋮ A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models ⋮ Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework ⋮ Approximating functionals of local martingales under lack of uniqueness of the Black–Scholes PDE solution ⋮ A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics ⋮ Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models

Cites Work

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• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• On stochastic relaxed control for partially observed diffusions
• Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
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