Accéder directement au contenu Accéder directement à la navigation
Pré-publication, Document de travail

Explicit solutions to dynamic portfolio choice problems: A continuous-time detour

Abstract : Recently, many academic researchers have implemented different numerical procedures to solve a dynamic portfolio choice problem especially in incomplete markets. The subsequent numerical results are sometimes significantly different from one paper to another. Thus, they have all advocated the accuracy of their methods. This paper contributes to this accuracy debate by showing how to obtain some accurate numerical results without numerical approximations, for a given investment horizon. We use a dynamic programming approach in continuous-time, and illustrate the framework with one risky and one riskless asset under a power utility. The framework is flexible enough to cover all the HARA class of utility functions.
Liste complète des métadonnées

https://hal-enpc.archives-ouvertes.fr/hal-01117787
Contributeur : Djibril Togola <>
Soumis le : lundi 6 juillet 2015 - 16:20:32
Dernière modification le : jeudi 19 mars 2020 - 12:10:03

Fichier

Djibril TOGOLA-JADE.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

Collections

Citation

François Legendre, Djibril Togola. Explicit solutions to dynamic portfolio choice problems: A continuous-time detour. 2015. ⟨hal-01117787v2⟩

Partager

Métriques

Consultations de la notice

1177

Téléchargements de fichiers

1165