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Pré-Publication, Document De Travail Année : 2015

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

Résumé

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.
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Dates et versions

hal-01117787 , version 1 (24-02-2015)
hal-01117787 , version 2 (06-07-2015)

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