Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach.
Duy-Minh DangPeter A. ForsythPublished in: Eur. J. Oper. Res. (2016)
Keyphrases
- allocation strategies
- hamilton jacobi bellman
- optimal control
- portfolio selection
- control problems
- nonlinear systems
- portfolio optimization
- allocation strategy
- stochastic control
- resource allocation
- dynamical systems
- supply chain
- approximate dynamic programming
- hamilton jacobi
- decision making
- control strategy
- queueing systems
- investment strategies
- adaptive control
- control law
- fuzzy model
- dynamic programming
- reinforcement learning
- brownian motion
- mathematical model
- fuzzy sets
- sensor networks