| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4640677 | Journal of Computational and Applied Mathematics | 2009 | 18 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
G. Yin, Hanqing Jin, Zhuo Jin,