Continuous-time optimal portfolio model with mean-reverting process

被引：0
|
作者：
Yu, Xing [1 ]
机构：
[1] Department of Mathematics and Applied Mathematics, Hunan University of humanities, science and technology, Loudi, China
来源：
Computer Modelling and New Technologies | 2014年 / 18卷 / 05期
关键词：
Approximation approach - Computationally efficient - Continuous-time - Dynamic programming methods - Portfolio optimization;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper studies a continuous-time portfolio optimization problem. It is proposed a simple but powerful approximation approach that is both accurate and computationally efficient for the terminal expectation of the investors with mean-reverting process, which is different from the existing literatures that apply the dynamic programming method. Numerical examples illustrate the computational efficiency and accuracy of our approach when compared with results from Monte Carlo (MC) simulations.
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页码：226 / 229
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