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dc.date.accessioned2013-03-12T08:18:33Z
dc.date.available2013-03-12T08:18:33Z
dc.date.issued2010en_US
dc.date.submitted2011-07-08en_US
dc.identifier.urihttp://hdl.handle.net/10852/10317
dc.description.abstractA numerical strategy for solving low-dimensional Bellman equations through the traditional backwards recursion is formulated. A simple error analysis suggests that the approach handles many multi-period portfolio selection problems, and a number of examples confirm this experimentally. Minimum downside risk procedures are studied and it is demonstrated how multi-period efficient frontiers can be calculated for such criteria. A closing example examines the impact of heavy-tailed distributions on optimal, multi-period risk.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Statistical Research Report http://urn.nb.no/URN:NBN:no-23420en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-23420
dc.titleOptimal portfolios through Bellman numericsen_US
dc.typeResearch reporten_US
dc.date.updated2011-07-08en_US
dc.creator.authorBølviken, Eriken_US
dc.creator.authorHenriksen, Pål Nicolaien_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-28566en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo132116en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10317/1/stat-res-01-10.pdf


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