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- W2610342222 abstract "Abstract In this paper, we study the dual control approach for the optimal asset allocation problem in a continuous-time regime-switching market. We find the lower and upper bounds of the value function that is a solution to a system of fully coupled nonlinear partial differential equations. These bounds can be tightened with additional controls to the dual process. We suggest a Monte-Carlo algorithm for computing the tight lower and upper bounds and show the method is effective with a variety of utility functions, including power, non-HARA and Yaari utilities. The latter two utilities are beyond the scope of any current methods available in finding the value function." @default.
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- W2610342222 date "2017-11-01" @default.
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- W2610342222 title "Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization" @default.
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- W2610342222 doi "https://doi.org/10.1016/j.ejor.2017.04.056" @default.
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