روش برنامه نویسی پویا به مقام محدود
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|79752||2013||9 صفحه PDF||سفارش دهید||8508 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : European Journal of Operational Research, Volume 229, Issue 2, 1 September 2013, Pages 453–461
This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that applies the martingale method. More precisely, we construct the non-separable value function by formalizing the optimal constrained terminal wealth to be a (conjectured) contingent claim on the optimal non-constrained terminal wealth. This is relevant by itself, but also opens up the opportunity to derive new solutions to constrained problems. As a second contribution, we thus derive new results for non-strict constraints on the shortfall of intermediate wealth and/or consumption.