Journal title
Journal of Computational and Applied Mathematics
DOI
10.1016/j.cam.2009.08.055
Issue
2
Volume
233
Last updated
2024-03-19T22:48:46.453+00:00
Page
564-581
Abstract
This work develops an approximation procedure for portfolio selection with bounded constraints. Based on the Markov chain approximation techniques, numerical procedures are constructed for the utility optimization task. Under simple conditions, the convergence of the approximation sequences to the wealth process and the optimal utility function is established. Numerical examples are provided to illustrate the performance of the algorithms.
Symplectic ID
196181
Download URL
http://www.maths.ox.ac.uk/~jinh
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Publication type
Journal Article
Publication date
Nov 2009