Browsing by Author "Zaczkowski, P."

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  • Optimal investment: bounds and heuristics 

    Rogers, L. C. G.; Zaczkowski, P. (Incisive Financial PublishingJournal of Computational Finance, 2015-10-28)
    High-dimensional optimal investment/consumption problems are hard to deal with, not least because of the difficulty in characterizing the value function. This paper tries to offer ways to determine an approximately optimal ...