Linear Programming and the Control of Diffusion Processes

Published Online:https://doi.org/10.1287/ijoc.2015.0651

References

  • Bertsekas DP (2005) Dynamic Programming and Optimal Control, 3rd ed., Vol. I (Athena Scientific, Nashua, NH).Google Scholar
  • Bertsekas DP (2012) Dynamic Programming and Optimal Control, 4th ed., Vol. II (Athena Scientific, Nashua, NH).Google Scholar
  • Bick B, Kraft H, Munk C (2012) Solving constrained consumption investment problems by simulation of artificial market strategies. Management Sci. 59:485–503.LinkGoogle Scholar
  • de Farias DP, Van Roy B (2003) The linear programming approach to approximate dynamic programming. Oper. Res. 51:850–865.LinkGoogle Scholar
  • de Farias DP, Van Roy B (2004) On constraint sampling in the linear programming approach to approximate dynamic programming. Math. Oper. Res. 29:462–478.LinkGoogle Scholar
  • Duffie D (1996) Dynamic Asset Pricing Theory (Princeton University Press, Princeton, NJ).Google Scholar
  • Glasserman P (2004) Monte Carlo Methods in Financial Engineering (Springer-Verlag, New York).CrossrefGoogle Scholar
  • Han J, Van Roy B (2011) Control of diffusions via linear programming. Infanger G, ed. Stochastic Programming: The State of the Art, in Honor of George B. Dantzig (Springer, New York), 329–354.Google Scholar
  • Haugh MB, Jain A (2011) The dual approach to portfolio evaluation: A comparison of the static, myopic and generalized buy-and-hold strategies. Quant. Finance 11:81–99.CrossrefGoogle Scholar
  • Haugh MB, Kogan L, Wang J (2006a) Evaluating portfolio strategies: A duality approach. Oper. Res. 54:405–418.LinkGoogle Scholar
  • Haugh MB, Kogan L, Wu Z (2006b) Portfolio optimization with position constraints: An approximate dynamic programming approach. Working paper, Columbia University, New York.Google Scholar
  • Lynch A (2001) Portfolio choice and equity characteristics: Characterizing the hedging demands induced by return predictability. J. Financial Econom. 62:67–130.CrossrefGoogle Scholar
  • Schweitzer P, Seidmann A (1985) Generalized polynomial approximations in Markovian decision processes. J. Math. Anal. Appl. 110:568–582.CrossrefGoogle Scholar
  • Wachter J, Sangvinatsos A (2005) Does the failure of the expectations hypothesis matter for long-term investors? J. Finance 60:179–230.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.