Funder
Canadian Network for Research and Innovation in Machining Technology, Natural Sciences and Engineering Research Council of Canada
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Reference25 articles.
1. Brandt, M. W., Goyal, A., Santa-Clara, P., & Stroud, J. R. (2005). A simulation approach to dynamic portfolio choice with an application to learning about return predictability. The Review of Financial Studies, 18(3), 831–873.
2. Broadie, M., & Shen, W. (2017). Numerical solutions to dynamic portfolio problems with upper bounds. Computational Management Science, 14(2), 215–227.
3. Buraschi, A., Porchia, P., & Trojani, F. (2010). Correlation risk and optimal portfolio choice. The Journal of Finance, 65(1), 393–420.
4. Chiu, M. C., & Wong, H. Y. (2013). Optimal investment for an insurer with cointegrated assets: CRRA utility. Insurance: Mathematics and Economics, 52(1), 52–64.
5. Christoffersen, P., Heston, S., & Jacobs, K. (2009). The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well. Management Science, 55(12), 1914–1932.