An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets.
Sergey NadtochiyThaleia ZariphopoulouPublished in: SIAM J. Financial Math. (2013)
Keyphrases
- closed form
- optimal solution
- approximation schemes
- polynomial time approximation
- approximation methods
- numerical scheme
- locally optimal
- dynamic programming
- approximation algorithms
- error tolerance
- decision making
- min sum
- genetic algorithm
- closed form solutions
- optimal strategy
- numerical integration
- market data
- learning automaton