A Markovian Approximated Solution To A Portfolio Management Problem
A 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.
|Date of creation:||05 Jul 2000|
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- Jacek B. Krawczyk & Alistair Windsor, 1997. "An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains," Computational Economics 9710001, EconWPA.
- John Rust, 1997. "A Comparison of Policy Iteration Methods for Solving Continuous-State, Infinite-Horizon Markovian Decision Problems Using Random, Quasi-random, and Deterministic Discretizations," Computational Economics 9704001, EconWPA.
- 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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