Approximated Numerical Solutions to Aportfolio Management Problem
نویسنده
چکیده
Portfolio management can be eeectuated through solutions to stochastic optimal control problems. Few problems of that kind can be solved analytically. A numerical method based on a simple Markovian approximation is described and applied to a classical optimal portfolio selection problem. Numerical solutions of varying degree of accuracy are obtained. Solutions are computed to a few important speciic problems including a time dependent volatility. The possibility of a numerical solution to a diierential game is brieey considered.
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