Numerical methods for portfolio selection with bounded constraints |
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Authors: | G. Yin Hanqing Jin Zhuo Jin |
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Affiliation: | aDepartment of Mathematics, Wayne State University, Detroit, MI 48202, United States;bMathematical Institute, 24–29 St Giles, Oxford, OX1 3LB, England |
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Abstract: | This work develops an approximation procedure for portfolio selection with bounded constraints. Based on the Markov chain approximation techniques, numerical procedures are constructed for the utility optimization task. Under simple conditions, the convergence of the approximation sequences to the wealth process and the optimal utility function is established. Numerical examples are provided to illustrate the performance of the algorithms. |
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Keywords: | Numerical method Portfolio selection Bounded constraint Stochastic control Markov chain approximation |
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