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• W2231321490 abstract "We propose a simulation-based approach for solving the constrained dynamic mean–variance portfolio management problem. For this dynamic optimization problem, we first consider a sub-optimal strategy, called the multi-stage strategy, which can be utilized in a forward fashion. Then, based on this fast yet sub-optimal strategy, we propose a backward recursive programming approach to improve it. We design the backward recursion algorithm such that the result is guaranteed to converge to a solution, which is at least as good as the one generated by the multi-stage strategy. In our numerical tests, highly satisfactory asset allocations are obtained for dynamic portfolio management problems with realistic constraints on the control variables." @default.
• W2231321490 created "2016-06-24" @default.
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• W2231321490 date "2016-03-01" @default.
• W2231321490 modified "2023-10-14" @default.
• W2231321490 title "Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation" @default.
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• W2231321490 doi "https://doi.org/10.1016/j.jedc.2016.01.001" @default.
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