Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
type: Item
instance of: scholarly article
title: Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
zbMATH Open document ID: 1376.91172
author: Jingtang Ma
author: Harry Zheng
author: Wen-Yuan Li
published in: European Journal of Operational Research
publication date: 2017-12-06T00:00:00Z
full work available at URL: http://hdl.handle.net/10044/1/52972
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6816186
zbMATH Keywords: portfolio optimization
zbMATH Keywords: regime switching
zbMATH Keywords: dual control
zbMATH Keywords: non-HARA utility
zbMATH Keywords: Yaari utility
zbMATH Keywords: tight lower and upper bounds
zbMATH Keywords: Monte Carlo method
MaRDI profile type: Publication
OpenAlex ID: W2610342222
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DOI: 10.1016/J.EJOR.2017.04.056
description: scientific article; zbMATH DE number 6816186