A numerical method for portfolio selection based on Markov chain approximation
Publish place: 3rd Conference on Financial Mathematics and Applications
Publish Year: 1391
Type: Conference paper
Language: English
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Document National Code:
CFMA03_143
Index date: 6 June 2015
A numerical method for portfolio selection based on Markov chain approximation abstract
In this paper, A portfolio selection problem is approximated by a Markov chain which ismodulated by a continuous-time, finite-state, Markov chain. The main ingredient of theMarkov chain approximation is to approximate the wealth process and utility function oforiginal utility optimization problem by a controlled Markov chain. under the convergenceof the approximation scheme, Policy iteration methods as to obtain the optimal controls. Anumerical example is provided to illustrate the reability of the algorithm.
A numerical method for portfolio selection based on Markov chain approximation Keywords:
A numerical method for portfolio selection based on Markov chain approximation authors
Z Nikoueinezhad
Faculty of Mathematics, Yazd University, Yazd, Iran
B Kafash
Faculty of Mathematics, Yazd University, Yazd, Iran- Emam Javad Higher Education Institute, yazd, Iran.
A Delavarkhalaft
Faculty of Mathematics, Yazd University, Yazd, Iran