Explicit solutions to dynamic portfolio choice problems: A continuous-time detour

François Legendre and Djibril Togola

Working Papers from HAL

Abstract: Recently, many academic researchers have implemented different numerical procedures to solve a dynamic portfolio choice problem especially in incomplete markets. The subsequent numerical results are sometimes significantly different from one paper to another. Thus, they have all advocated the accuracy of their methods. This paper contributes to this accuracy debate by showing how to obtain some accurate numerical results without numerical approximations, for a given investment horizon. We use a dynamic programming approach in continuous-time, and illustrate the framework with one risky and one riskless asset under a power utility. The framework is flexible enough to cover all the HARA class of utility functions.

Keywords: Dynamic portfolio choice; Long-term investing; Time aggregation; Explicit solutions; Numerical solutions JEL Classification: G11; G12 (search for similar items in EconPapers)
Date: 2015-05-26
New Economics Papers: this item is included in nep-cmp and nep-upt
Note: View the original document on HAL open archive server: https://enpc.hal.science/hal-01117787v2
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Related works:
Journal Article: Explicit solutions to dynamic portfolio choice problems: A continuous-time detour (2016)
Working Paper: Explicit solutions to dynamic portfolio choice problems: A continuous-time detour (2016)
Working Paper: Explicit solution to dynamic portfolio choice problem: The continuous-time detour (2015)
Working Paper: Explicit solution to dynamic portfolio choice problem: the continuous-time detour (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01117787

DOI: 10.13140/2.1.4715.3449

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