Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions
type: Item
instance of: scholarly article
title: Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions
zbMATH Open document ID: 1395.91400
author: Michel Denault
author: Jean-Guy Simonato
published in: Computers \& Operations Research
publication date: 2018-07-11T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6901341
zbMATH Keywords: dynamic portfolio choices
zbMATH Keywords: portfolio optimization
zbMATH Keywords: approximate dynamic programming
zbMATH Keywords: least-squares Monte Carlo
zbMATH Keywords: simulation-and-regression
MaRDI profile type: Publication
full work available at URL: j.cor.2016.09.022
OpenAlex ID: W2528221399
cites work: Strategic asset allocation
cites work: Pricing American-style securities using simulation
cites work: Valuation of the early-exercise price for options using simulations and nonparametric regression
cites work: Consumption and Portfolio Decisions when Expected Returns are Time Varying
cites work: Valuing pilot projects in a learning by investing framework: an approximate dynamic programming approach
cites work: Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation
cites work: Q4433608
cites work: Assessing the least squares Monte-Carlo approach to American option valuation
cites work: Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
cites work: Solving a savings allocation problem by numerical dynamic programming with shape-preserving interpolation
DOI: 10.1016/J.COR.2016.09.022
description: scientific article; zbMATH DE number 6901341