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Numerical methods for portfolio selection with bounded constraints · Study

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ArticleNumerical methods for portfolio selection with bounded constraints

Hanqing Jin2009

OA

Articlebronze2009

Numerical methods for portfolio selection with bounded constraints

Hanqing Jin · Zhuo Jin

23 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1983Stochastic Differential Equations and Diffusion Processes 2003Stochastic Approximation and Recursive Algorithms and Applications 1990Numerical Methods for Stochastic Control Problems in Continuous Time 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 1992Convex Duality in Constrained Portfolio Optimization 1992Numerical Methods for Stochastic Control Problems in Continuous Time 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

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2015A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics 2010Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation

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Year2009

Typearticle

Published2009-08-23

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2009.08.055

openalex_workW2012865762

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