HIGHLIGHTS
- who: Fei Cong from the Delft Institute of Applied Mathematics, TU Delft, Delft, The Netherlands have published the article: Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem, in the Journal: (JOURNAL)
- what: When solving the first-order conditions for a portfolio optimum the authors implement a Taylor series expansion based on a nonlinear decomposition to approximate the utility functions. In the tests the authors show that the algorithm is and in approximating the optimal investment strategies which are generated by a new benchmark approach based on the COS method (Fang and in . . .
If you want to have access to all the content you need to log in!
Thanks :)
If you don't have an account, you can create one here.