Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization

被引：12
|
作者：
Ma, Jingtang [1 ,2 ]
Li, Wenyuan [3 ]
Zheng, Harry [4 ]
机构：
[1] Southwestern Univ Finance & Econ, Sch Econ Math, Chengdu 611130, Peoples R China
[2] Southwestern Univ Finance & Econ, Collaborat Innovat Ctr Financial Secur, Chengdu 611130, Peoples R China
[3] Southwestern Univ Finance & Econ, Sch Econ Math, Chengdu 611130, Peoples R China
[4] Imperial Coll, Dept Math, London SW7 2BZ, England
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2017年 / 262卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Portfolio optimization; Regime switching; Dual control; Non-HARA utility; Yaari utility; Tight lower and upper bounds; Monte-Carlo method; PORTFOLIO OPTIMIZATION; CHOICE; MARKET; DRIFT;
D O I：
10.1016/j.ejor.2017.04.056
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we study the dual control approach for the optimal asset allocation problem in a continuous-time regime-switching market. We find the lower and upper bounds of the value function that is a solution to a system of fully coupled nonlinear partial differential equations. These bounds can be tightened with additional controls to the dual process. We suggest a Monte-Carlo algorithm for computing the tight lower and upper bounds and show the method is effective with a variety of utility functions, including power, non-HARA and Yaari utilities. The latter two utilities are beyond the scope of any current methods available in finding the value function. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码：851 / 862
页数：12
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