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Statistical validation of multi-agent financial models using the H-infinity Kalman Filter
Rigatos, Gerasimos G. - In: Computational economics 58 (2021) 3, pp. 777-798
Persistent link: https://www.econbiz.de/10012651029
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Risk assessment with wavelet feature engineering for high-frequency portfolio trading
Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 653-684
Persistent link: https://www.econbiz.de/10012053020
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Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
Binsbergen, Jules H. van; Brandt, Michael W. - In: Computational economics 29 (2007) 3/4, pp. 355-367
Persistent link: https://www.econbiz.de/10003493819
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Solving dynamic programming problems on a computational grid
Cai, Yongyang; Judd, Kenneth L.; Thain, Greg; Wright, … - In: Computational economics 45 (2015) 2, pp. 261-284
Persistent link: https://www.econbiz.de/10011325717
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Solving high-dimensional dynamic portfolio choice models with hierarchical B-splines on sparse grids
Schober, Peter; Valentin, Julian; Pflüger, Dirk - In: Computational economics 59 (2022) 1, pp. 185-224
Persistent link: https://www.econbiz.de/10013168972
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Optimal portfolio choice under shadow costs with fixed assets when time-horizon is uncertain
Bellalah, Mondher; Zhang, Detao; Zhang, Panpan - In: Computational economics 56 (2020) 1, pp. 5-20
Persistent link: https://www.econbiz.de/10012272014
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A stochastic model of dynamic consumption and portfolio decisions
Semmler, Willi; Mueller, Maik - In: Computational economics 48 (2016) 2, pp. 225-251
Persistent link: https://www.econbiz.de/10011646737
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Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model
Kafash, Behzad - In: Computational economics 54 (2019) 2, pp. 763-782
Persistent link: https://www.econbiz.de/10012134353
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A polynomial-affine approximation for dynamic portfolio choice
Zhu, Yichen; Escobar, Marcos; Davison, Matt - In: Computational economics 62 (2023) 3, pp. 1177-1213
Persistent link: https://www.econbiz.de/10014382894
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Solving stochastic dynamic programming problems : a mixed complementarity approach
Chang, Wonjun; Ferris, Michael C.; Kim, Youngdae; … - In: Computational economics 55 (2020) 3, pp. 925-955
Persistent link: https://www.econbiz.de/10012223687