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Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?. (2007). van Binsbergen, Jules.
In: Computational Economics.
RePEc:kap:compec:v:29:y:2007:i:3:p:355-367.

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  1. A Polynomial-Affine Approximation for Dynamic Portfolio Choice. (2023). Escobar Anel, Marcos ; Zhu, Yichen ; Davison, Matt ; Escobar-Anel, Marcos.
    In: Computational Economics.
    RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10297-9.

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  2. Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions. (2021). Anatolyev, Stanislav ; Pyrlik, Vladimir .
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp699.

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  3. Rule-based Strategies for Dynamic Life Cycle Investment. (2020). Oosterlee, Cornelis ; T. R. B. den Haan, ; van der Schans, M ; Chau, K W.
    In: Papers.
    RePEc:arx:papers:2011.02596.

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  4. A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates. (2019). Prigent, Jean-Luc ; Abid, Ilyes ; Mkaouar, Farid.
    In: Computational Economics.
    RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9742-0.

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  5. Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method. (2019). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langrene, Nicolas ; Zhang, Rongju.
    In: Post-Print.
    RePEc:hal:journl:hal-02909342.

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  6. Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach. (2019). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langrene, Nicolas ; Zhang, Rongju.
    In: Post-Print.
    RePEc:hal:journl:hal-02909207.

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  7. Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method. (2019). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas ; Zhang, Rongju.
    In: Papers.
    RePEc:arx:papers:1704.00416.

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  8. Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas ; Zhang, Rongju.
    In: Papers.
    RePEc:arx:papers:1803.11467.

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  9. Numerical solutions to dynamic portfolio problems with upper bounds. (2017). Shen, Weiwei ; Broadie, Mark.
    In: Computational Management Science.
    RePEc:spr:comgts:v:14:y:2017:i:2:d:10.1007_s10287-016-0270-5.

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  10. Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem. (2017). Oosterlee, Cornelis ; Cong, Fei .
    In: Computational Economics.
    RePEc:kap:compec:v:49:y:2017:i:3:d:10.1007_s10614-016-9569-0.

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  11. Economies of Scope, Resource Relatedness, and the Dynamics of Corporate Diversification. (2017). Sakhartov, Arkadiy V.
    In: Strategic Management Journal.
    RePEc:bla:stratm:v:38:y:2017:i:11:p:2168-2188.

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  12. Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas.
    In: Papers.
    RePEc:arx:papers:1610.07694.

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  13. HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS. (2016). Broadie, Mark ; Shen, Weiwei .
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:04:n:s0219024916500254.

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  14. Explicit solutions to dynamic portfolio choice problems: A continuous-time detour. (2016). TOGOLA, Djibril ; Legendre, François.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:627-641.

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  15. Net Contribution, Liquidity, and Optimal Pension Management. (2016). Choi, Changhui ; Roh, Sang-Youn ; Kim, Changki ; Jang, Bong-Gyu.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:83:y:2016:i:4:p:913-948.

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  16. The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach. (2016). Warin, Xavier.
    In: Papers.
    RePEc:arx:papers:1611.04877.

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  17. A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function. (2015). Parolya, Nestor ; Schmid, Wolfgang ; Bodnar, Taras.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:229:y:2015:i:1:p:121-158:10.1007/s10479-015-1802-z.

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  18. Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation. (2015). Palm, Franz ; Diris, Bart ; Schotman, Peter .
    In: Management Science.
    RePEc:inm:ormnsc:v:61:y:2015:i:9:p:2185-2202.

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  19. Explicit solutions to dynamic portfolio choice problems: A continuous-time detour. (2015). TOGOLA, Djibril ; Legendre, François.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01117787.

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  20. Explicit solution to dynamic portfolio choice problem: the continuous-time detour. (2015). Legendre, François ; Togola, Djibril .
    In: Erudite Working Paper.
    RePEc:eru:erudwp:wp15-01.

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  21. A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function. (2014). Parolya, Nestor ; Schmid, Wolfgang ; Bodnar, Taras.
    In: Papers.
    RePEc:arx:papers:1207.1003.

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  22. Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies. (2013). Munk, Claus ; Bick, Bjorn ; Kraft, Holger.
    In: Management Science.
    RePEc:inm:ormnsc:v:59:y:2013:i:2:p:485-503.

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References

References cited by this document

  1. Balduzzi P., Lynch A.W. (1999). Transaction costs and predictability: some utility cost calculations. Journal of Financial Economics 52:47–78.

  2. Barberis N. (2000) Investing for the long run when returns are predictable. Journal of Finance 55:225–264.

  3. Brandt M.W., Goyal A., Santa-Clara P., Stroud J.R. (2005). A simulation approach to dynamic portfolio choice with an application to learning about return predictability. Review of Financial Studies 18:831–873.

  4. Brandt, M. W. (2005). Portfolio choice problems. In Y. Ait-Sahalia, & L. P. Hansen, (Eds.), Handbook of Financial Econometrics, forthcoming.
    Paper not yet in RePEc: Add citation now

  5. Cochrane J.H. (1989). The sensitivity of tests of the intertemporal allocation of consumption to near-rational alternatives. American Economic Review 79:319–337.

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