Multi-period asset allocation by stochastic dynamic programming

DOI10.1016/J.AMC.2007.09.055zbMath1134.91440OpenAlexW2087373425MaRDI QIDQ924425

James J. Kung

Publication date: 16 May 2008

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

Full work available at URL: https://doi.org/10.1016/j.amc.2007.09.055

zbMATH Keywords

stochastic dynamic programmingBellman functionmulti-period asset allocationpower utilitybackward recursion algorithmtwo-factor Vasicek model

Mathematics Subject Classification ID

Stochastic programming (90C15) Application models in control theory (93C95) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Strategic asset allocation
• An equilibrium characterization of the term structure
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