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- Publisher Website: 10.1016/j.ejor.2017.04.056
- Scopus: eid_2-s2.0-85019392002
- WOS: WOS:000403732700004
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Article: Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
Title | Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization |
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Authors | |
Keywords | Dual control Monte-Carlo method Non-HARA utility Portfolio optimization Regime switching Tight lower and upper bounds Yaari utility |
Issue Date | 2017 |
Citation | European Journal of Operational Research, 2017, v. 262, n. 3, p. 851-862 How to Cite? |
Abstract | In this paper, we study the dual control approach for the optimal asset allocation problem in a continuous-time regime-switching market. We find the lower and upper bounds of the value function that is a solution to a system of fully coupled nonlinear partial differential equations. These bounds can be tightened with additional controls to the dual process. We suggest a Monte-Carlo algorithm for computing the tight lower and upper bounds and show the method is effective with a variety of utility functions, including power, non-HARA and Yaari utilities. The latter two utilities are beyond the scope of any current methods available in finding the value function. |
Persistent Identifier | http://hdl.handle.net/10722/327695 |
ISSN | 2023 Impact Factor: 6.0 2023 SCImago Journal Rankings: 2.321 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Ma, Jingtang | - |
dc.contributor.author | Li, Wenyuan | - |
dc.contributor.author | Zheng, Harry | - |
dc.date.accessioned | 2023-04-24T05:09:16Z | - |
dc.date.available | 2023-04-24T05:09:16Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | European Journal of Operational Research, 2017, v. 262, n. 3, p. 851-862 | - |
dc.identifier.issn | 0377-2217 | - |
dc.identifier.uri | http://hdl.handle.net/10722/327695 | - |
dc.description.abstract | In this paper, we study the dual control approach for the optimal asset allocation problem in a continuous-time regime-switching market. We find the lower and upper bounds of the value function that is a solution to a system of fully coupled nonlinear partial differential equations. These bounds can be tightened with additional controls to the dual process. We suggest a Monte-Carlo algorithm for computing the tight lower and upper bounds and show the method is effective with a variety of utility functions, including power, non-HARA and Yaari utilities. The latter two utilities are beyond the scope of any current methods available in finding the value function. | - |
dc.language | eng | - |
dc.relation.ispartof | European Journal of Operational Research | - |
dc.subject | Dual control | - |
dc.subject | Monte-Carlo method | - |
dc.subject | Non-HARA utility | - |
dc.subject | Portfolio optimization | - |
dc.subject | Regime switching | - |
dc.subject | Tight lower and upper bounds | - |
dc.subject | Yaari utility | - |
dc.title | Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.ejor.2017.04.056 | - |
dc.identifier.scopus | eid_2-s2.0-85019392002 | - |
dc.identifier.volume | 262 | - |
dc.identifier.issue | 3 | - |
dc.identifier.spage | 851 | - |
dc.identifier.epage | 862 | - |
dc.identifier.isi | WOS:000403732700004 | - |