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Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation

Cong, F.; Oosterlee, Cornelis Willebrordus - In: Journal of economic dynamics & control 64 (2016), pp. 23-38

Persistent link: https://www.econbiz.de/10011708209

On pre-commitment aspects of a time-consistent strategy for a mean-variance investor

Cong, F.; Oosterlee, Cornelis Willebrordus - In: Journal of economic dynamics & control 70 (2016), pp. 178-193

Persistent link: https://www.econbiz.de/10011708681

Accurate and robust numerical methods for the dynamic portfolio management problem

Cong, Fei; Oosterlee, Cornelis Willebrordus - In: Computational economics 49 (2017) 3, pp. 433-458

Persistent link: https://www.econbiz.de/10011762120

On the modelling of nested risk-neutral stochastic processes with applications in insurance

Singor, S. N.; Boer, A.; Alberts, J. S. C.; Oosterlee, … - In: Applied mathematical finance 24 (2017) 3/4, pp. 302-336

Persistent link: https://www.econbiz.de/10011815235

The seven-league scheme : deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks : open access journal 10 (2022) 3, pp. 1-27

We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determined stochastic collocation (SC) points. By...

Persistent link: https://www.econbiz.de/10013093086