A Markovian Approximated Solution To A Portfolio Management Problem
AbstractA portfolio management problem is approximated through a Markov decision chain. The weak Euler scheme is applied to discretise the time evolution of a portfolio and an inverse distance method is used to describe the transition probabilities. The approximating Markov decision problem is solved by value iteration. Numerical solutions of varying degrees of accuracy to a few specific portfolio problems are obtained.
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2000 with number 233.
Date of creation: 05 Jul 2000
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Postal: CEF 2000, Departament d'Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas, 25,27, 08005, Barcelona, Spain
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- Alistair Windsor & Jacek B. Krawczyk, 1997. "A Matlab Package for Approximating the Solution to a Continuous- Time Stochastic Optimal Control Problem," Computational Economics 9710002, EconWPA.
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