Imperial College London
Professor Harry Zheng

ProfessorHarryZheng

Faculty of Natural Sciences, Department of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8539h.zheng Website

 
 
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Location

 

6M16Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Ma:2017:10.1016/j.ejor.2017.04.056,
author = {Ma, J and Li, W and Zheng, H},
doi = {10.1016/j.ejor.2017.04.056},
journal = {European Journal of Operational Research},
pages = {851--862},
title = {Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization},
url = {http://dx.doi.org/10.1016/j.ejor.2017.04.056},
volume = {262},
year = {2017}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - 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.
AU  - Ma,J
AU  - Li,W
AU  - Zheng,H
DO  - 10.1016/j.ejor.2017.04.056
EP  - 862
PY  - 2017///
SN  - 0377-2217
SP  - 851
TI  - Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
T2  - European Journal of Operational Research
UR  - http://dx.doi.org/10.1016/j.ejor.2017.04.056
UR  - http://hdl.handle.net/10044/1/52972
VL  - 262
ER  -
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