| dc.date.accessioned | 2013-03-12T08:18:33Z | |
| dc.date.available | 2013-03-12T08:18:33Z | |
| dc.date.issued | 2010 | en_US |
| dc.date.submitted | 2011-07-08 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10317 | |
| dc.description.abstract | A 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.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Statistical Research Report http://urn.nb.no/URN:NBN:no-23420 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-23420 | |
| dc.rights | © The Author(s) (2010). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Optimal portfolios through Bellman numerics | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2011-07-08 | en_US |
| dc.rights.holder | Copyright 2010 The Author(s) | |
| dc.creator.author | Bølviken, Erik | en_US |
| dc.creator.author | Henriksen, Pål Nicolai | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-28566 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 132116 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10317/1/stat-res-01-10.pdf | |