Paper Info
Title
Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization.
Abstract
•Dual control Monte-Carlo method is designed for regime switching model.•Tight lower and upper bounds are derived for optimal value function.•Primal difficult control problem is reduced to dual easy European pricing problem.•Numerical algorithm is reliable, accurate for power, non-HARA, Yaari utilities.
Year
DOI
Venue
2017
10.1016/j.ejor.2017.04.056
European Journal of Operational Research
Keywords
Field
DocType
Portfolio optimization,Regime switching,Dual control,Non-HARA utility,Yaari utility,Tight lower and upper bounds,Monte-Carlo method,
Regime switching,Mathematical optimization,Monte Carlo method,Nonlinear system,Bellman equation,Utility maximization,Portfolio optimization,Asset allocation,Partial differential equation,Mathematics
Journal
Volume
Issue
ISSN
262
3
0377-2217
Citations 
PageRank 
References 
0
0.34
10
Authors
3
Name
Order
Citations
PageRank
Jingtang Ma112012.98
Li Wenyuan214.43
Harry Zheng3289.30