Matches in SemOpenAlex for { <https://semopenalex.org/work/W2076213360> ?p ?o ?g. }
- W2076213360 endingPage "230" @default.
- W2076213360 startingPage "207" @default.
- W2076213360 abstract "Abstract We solve the optimal asset allocation problem using a mean variance approach. The original mean variance optimization problem can be embedded into a class of auxiliary stochastic linear-quadratic (LQ) problems using the method in Zhou and Li (2000) and Li and Ng (2000) . We use a finite difference method with fully implicit timestepping to solve the resulting nonlinear Hamilton–Jacobi–Bellman (HJB) PDE, and present the solutions in terms of an efficient frontier and an optimal asset allocation strategy. The numerical scheme satisfies sufficient conditions to ensure convergence to the viscosity solution of the HJB PDE. We handle various constraints on the optimal policy. Numerical tests indicate that realistic constraints can have a dramatic effect on the optimal policy compared to the unconstrained solution." @default.
- W2076213360 created "2016-06-24" @default.
- W2076213360 creator A5087579787 @default.
- W2076213360 creator A5088103390 @default.
- W2076213360 date "2010-02-01" @default.
- W2076213360 modified "2023-09-23" @default.
- W2076213360 title "Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous time mean variance asset allocation" @default.
- W2076213360 cites W1971197950 @default.
- W2076213360 cites W1987528389 @default.
- W2076213360 cites W1989259113 @default.
- W2076213360 cites W2002788332 @default.
- W2076213360 cites W2004745280 @default.
- W2076213360 cites W2005158847 @default.
- W2076213360 cites W2016864253 @default.
- W2076213360 cites W2017885867 @default.
- W2076213360 cites W2025865698 @default.
- W2076213360 cites W2031958274 @default.
- W2076213360 cites W2032056897 @default.
- W2076213360 cites W2032316144 @default.
- W2076213360 cites W2044831824 @default.
- W2076213360 cites W2048207845 @default.
- W2076213360 cites W2052333179 @default.
- W2076213360 cites W2063425102 @default.
- W2076213360 cites W2065030872 @default.
- W2076213360 cites W2071292843 @default.
- W2076213360 cites W2071383004 @default.
- W2076213360 cites W2073168439 @default.
- W2076213360 cites W2113155572 @default.
- W2076213360 cites W2114102890 @default.
- W2076213360 cites W2115163964 @default.
- W2076213360 cites W2132621139 @default.
- W2076213360 cites W2159823040 @default.
- W2076213360 cites W2177195156 @default.
- W2076213360 cites W3106108365 @default.
- W2076213360 cites W3121342156 @default.
- W2076213360 cites W3121586844 @default.
- W2076213360 cites W3124574885 @default.
- W2076213360 cites W3125997527 @default.
- W2076213360 doi "https://doi.org/10.1016/j.jedc.2009.09.002" @default.
- W2076213360 hasPublicationYear "2010" @default.
- W2076213360 type Work @default.
- W2076213360 sameAs 2076213360 @default.
- W2076213360 citedByCount "48" @default.
- W2076213360 countsByYear W20762133602012 @default.
- W2076213360 countsByYear W20762133602013 @default.
- W2076213360 countsByYear W20762133602014 @default.
- W2076213360 countsByYear W20762133602015 @default.
- W2076213360 countsByYear W20762133602016 @default.
- W2076213360 countsByYear W20762133602017 @default.
- W2076213360 countsByYear W20762133602018 @default.
- W2076213360 countsByYear W20762133602019 @default.
- W2076213360 countsByYear W20762133602020 @default.
- W2076213360 countsByYear W20762133602021 @default.
- W2076213360 countsByYear W20762133602022 @default.
- W2076213360 countsByYear W20762133602023 @default.
- W2076213360 crossrefType "journal-article" @default.
- W2076213360 hasAuthorship W2076213360A5087579787 @default.
- W2076213360 hasAuthorship W2076213360A5088103390 @default.
- W2076213360 hasConcept C106159729 @default.
- W2076213360 hasConcept C121955636 @default.
- W2076213360 hasConcept C126255220 @default.
- W2076213360 hasConcept C139819358 @default.
- W2076213360 hasConcept C144237770 @default.
- W2076213360 hasConcept C14646407 @default.
- W2076213360 hasConcept C149782125 @default.
- W2076213360 hasConcept C162324750 @default.
- W2076213360 hasConcept C196083921 @default.
- W2076213360 hasConcept C196978813 @default.
- W2076213360 hasConcept C2780821815 @default.
- W2076213360 hasConcept C33923547 @default.
- W2076213360 hasConcept C38652104 @default.
- W2076213360 hasConcept C41008148 @default.
- W2076213360 hasConcept C76178495 @default.
- W2076213360 hasConceptScore W2076213360C106159729 @default.
- W2076213360 hasConceptScore W2076213360C121955636 @default.
- W2076213360 hasConceptScore W2076213360C126255220 @default.
- W2076213360 hasConceptScore W2076213360C139819358 @default.
- W2076213360 hasConceptScore W2076213360C144237770 @default.
- W2076213360 hasConceptScore W2076213360C14646407 @default.
- W2076213360 hasConceptScore W2076213360C149782125 @default.
- W2076213360 hasConceptScore W2076213360C162324750 @default.
- W2076213360 hasConceptScore W2076213360C196083921 @default.
- W2076213360 hasConceptScore W2076213360C196978813 @default.
- W2076213360 hasConceptScore W2076213360C2780821815 @default.
- W2076213360 hasConceptScore W2076213360C33923547 @default.
- W2076213360 hasConceptScore W2076213360C38652104 @default.
- W2076213360 hasConceptScore W2076213360C41008148 @default.
- W2076213360 hasConceptScore W2076213360C76178495 @default.
- W2076213360 hasIssue "2" @default.
- W2076213360 hasLocation W20762133601 @default.
- W2076213360 hasOpenAccess W2076213360 @default.
- W2076213360 hasPrimaryLocation W20762133601 @default.
- W2076213360 hasRelatedWork W1648578843 @default.
- W2076213360 hasRelatedWork W2006564293 @default.
- W2076213360 hasRelatedWork W2052286527 @default.
- W2076213360 hasRelatedWork W2076213360 @default.
- W2076213360 hasRelatedWork W2384431868 @default.
- W2076213360 hasRelatedWork W2512062456 @default.