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Numerical methods for portfolio selection with bounded constraints
Authors:G. Yin   Hanqing Jin  Zhuo Jin  
Affiliation:aDepartment of Mathematics, Wayne State University, Detroit, MI 48202, United States;bMathematical Institute, 24–29 St Giles, Oxford, OX1 3LB, England
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.
Keywords:Numerical method   Portfolio selection   Bounded constraint   Stochastic control   Markov chain approximation
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