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Investment under risk with discrete and continuous assets
Elbers, Chris; Gunning, Jan Willem; Vigh, Melinda - 2009
This paper considers a general class of stochastic dynamic choice models with discrete and continuous decision variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk. Our examples are drawn from the field of development...
Persistent link: https://www.econbiz.de/10011378329
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Solving Dynamic Portfolio Choice Models in Discrete Time Using Spatially Adaptive Sparse Grids
Schober, Peter - 2019
In this paper, I propose a dynamic programming approach with value function iteration to solve Bellman equations in discrete time using spatially adaptive sparse grids. In doing so, I focus on Bellman equations used in finance, specifically to model dynamic portfolio choice over the life cycle....
Persistent link: https://www.econbiz.de/10012900643
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Dynamic Tracking Error with Shortfall Control Using Stochastic Programming
Barro, Diana; Canestrelli, Elio - 2012
In this contribution we propose a dynamic tracking error problem and we consider the problem of monitoring at discrete point the shortfall of the portfolio below a set of given reference levels of wealth. We formulate and solve the resulting dynamic optimization problem using stochastic...
Persistent link: https://www.econbiz.de/10014040374
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Chapter 8. Advances in Numerical Dynamic Programming and New Applications
Cai, Yongyang; Judd, Kenneth L. - In: Handbook of computational economics : volume 3, (pp. 479-516). 2014
Dynamic programming is the essential tool in dynamic economic analysis. Problems such as portfolio allocation for individuals and optimal economic growth are typical examples. Numerical methods typically approximate the value function. Recent work has focused on making numerical methods more...
Persistent link: https://www.econbiz.de/10014025714
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Investment Under Risk with Discrete and Continuous Assets : Solution and Estimation
Elbers, Chris; Gunning, Jan Willem; Vigh, Melinda - 2009
This paper considers a general class of stochastic dynamic choice models with discrete and continuous decision variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk. Our examples are drawn from the field of development...
Persistent link: https://www.econbiz.de/10014207021
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The Optimal Asset Allocation of the Main Types of Pension Funds : A Unified Framework
Romaniuk, Katarzyna - 2010
characterized by the existence of an option in the final wealth definition. Four funds are present in the internal guarantee optimal … standard options theory, yields an optimal policy incorporating the delta of the option embodied in the final wealth definition …
Persistent link: https://www.econbiz.de/10013142772
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Investment under Risk with Discrete and Continuous Assets
Elbers, Chris; Gunning, Jan Willem; Vigh, Melinda - 2009
This paper considers a general class of stochastic dynamic choice models with discrete and continuous decision variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk. Our examples are drawn from the field of development...
Persistent link: https://www.econbiz.de/10010325850
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Multi-assets real options
GAHUNGU, Joachim; SMEERS, Yves - Center for Operations Research and Econometrics (CORE), … - 2009
forward investment rule, one can not find the precise option value ex ante but only an average value. The precise option value …
Persistent link: https://www.econbiz.de/10008550253
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Consumption-Based CAPM and Option Pricing under Jump-Diffusion Uncertainty
Kusuda, Koji - 2003
equilibrium framework of jump-diffusion option pricing models in each case of heterogeneous agents with CRRA utilities and of …-diffusion model with jump-diffusion volatility for option pricing using the framework. …
Persistent link: https://www.econbiz.de/10010263367
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Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustne...
Shaw, William Thornton - 2011
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. We explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. DeVroye's approach to sampling the interior of a...
Persistent link: https://www.econbiz.de/10013124340