Dynamic Programming and Mean-Variance Hedging in Discrete Time

Georgian Mathematical Journal ◽

10.1515/gmj.2003.237 ◽

2003 ◽

Vol 10 (2) ◽

pp. 237-246

Author(s):

S. Gugushvili

Keyword(s):

Dynamic Programming ◽

Discrete Time ◽

Optimal Strategy ◽

Programming Approach ◽

Dynamic Programming Approach ◽

The Mean ◽

Hedging Problem ◽

Abstract We consider the mean-variance hedging problem in the discrete time setting. Using the dynamic programming approach we obtain recurrent equations for an optimal strategy. Additionally, some technical restrictions of the previous works are removed.

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A dynamic programming approach to two-stage mean-variance portfolio selection in cointegrated vector autoregressive systems

2008 47th IEEE Conference on Decision and Control ◽

10.1109/cdc.2008.4738706 ◽

2008 ◽

Author(s):

Melanie B. Rudoy ◽

Charles E. Rohrs

Keyword(s):

Dynamic Programming ◽

Portfolio Selection ◽

Programming Approach ◽

Two Stage ◽

Vector Autoregressive ◽

Dynamic Programming Approach ◽

Mean Variance Portfolio ◽

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Dynamic programming approach to discrete time dynamic feedback Stackelberg games with independent and dependent followers

European Journal of Operational Research ◽

10.1016/j.ejor.2004.06.011 ◽

2006 ◽

Vol 169 (1) ◽

pp. 310-328 ◽

Author(s):

Pu-yan Nie ◽

Li-hua Chen ◽

Masao Fukushima

Keyword(s):

Dynamic Programming ◽

Discrete Time ◽

Stackelberg Games ◽

Programming Approach ◽

Dynamic Feedback ◽

Time Dynamic ◽

Dynamic Programming Approach

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A discrete-time dynamic programming approach for network airline revenue management

International Journal of Information and Decision Sciences ◽

10.1504/ijids.2014.059732 ◽

2014 ◽

Vol 6 (1) ◽

pp. 1 ◽

Author(s):

Jingying Li ◽

Alberto Garcia Diaz ◽

Joseph Hubert Wilck <suffix>IV</suffix>

Keyword(s):

Dynamic Programming ◽

Revenue Management ◽

Discrete Time ◽

Programming Approach ◽

Airline Revenue Management ◽

Time Dynamic ◽

Dynamic Programming Approach

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Finite-horizon neuro-optimal tracking control for a class of discrete-time nonlinear systems using adaptive dynamic programming approach

Neurocomputing ◽

10.1016/j.neucom.2011.03.058 ◽

2012 ◽

Vol 78 (1) ◽

pp. 14-22 ◽

Author(s):

Ding Wang ◽

Derong Liu ◽

Qinglai Wei

Keyword(s):

Dynamic Programming ◽

Nonlinear Systems ◽

Discrete Time ◽

Tracking Control ◽

Adaptive Dynamic Programming ◽

Programming Approach ◽

Optimal Tracking ◽

Adaptive Dynamic ◽

Dynamic Programming Approach ◽

Optimal Tracking Control

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Neuro-optimal tracking control for a class of discrete-time nonlinear systems via generalized value iteration adaptive dynamic programming approach

Soft Computing ◽

10.1007/s00500-014-1533-0 ◽

2014 ◽

Vol 20 (2) ◽

pp. 697-706 ◽

Author(s):

Qinglai Wei ◽

Derong Liu ◽

Yancai Xu

Keyword(s):

Dynamic Programming ◽

Nonlinear Systems ◽

Discrete Time ◽

Tracking Control ◽

Adaptive Dynamic Programming ◽

Programming Approach ◽

Value Iteration ◽

Optimal Tracking ◽

Adaptive Dynamic ◽

Dynamic Programming Approach

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Discrete Time McKean–Vlasov Control Problem: A Dynamic Programming Approach

Applied Mathematics & Optimization ◽

10.1007/s00245-016-9386-9 ◽

2016 ◽

Vol 74 (3) ◽

pp. 487-506 ◽

Author(s):

Huyên Pham ◽

Xiaoli Wei

Keyword(s):

Dynamic Programming ◽

Control Problem ◽

Discrete Time ◽

Programming Approach ◽

Dynamic Programming Approach

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A multiobjective dynamic programming approach to constrained discrete-time optimal control

Proceedings of the 1998 American Control Conference. ACC (IEEE Cat. No.98CH36207) ◽

10.1109/acc.1998.688424 ◽

1998 ◽

Author(s):

B.J. Driessen ◽

K.S. Kwok

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Discrete Time ◽

Time Optimal Control ◽

Programming Approach ◽

Dynamic Programming Approach ◽

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On practical input to state stabilization for nonlinear discrete-time systems: A dynamic programming approach

2003 European Control Conference (ECC) ◽

10.23919/ecc.2003.7084934 ◽

2003 ◽

Author(s):

Shoudong Huang ◽

M.R. James ◽

Dragan Nesic ◽

Peter Dower

Keyword(s):

Dynamic Programming ◽

Discrete Time ◽

Programming Approach ◽

Dynamic Programming Approach ◽

Discrete Time Systems ◽

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A Dynamic Programming Approach for Base Station Sleeping in Cellular Networks

IEICE Transactions on Communications ◽

10.1587/transcom.e95.b.551 ◽

2012 ◽

Vol E95-B (2) ◽

pp. 551-562 ◽

Author(s):

Jie GONG ◽

Sheng ZHOU ◽

Zhisheng NIU

Keyword(s):

Dynamic Programming ◽

Cellular Networks ◽

Base Station ◽

Programming Approach ◽

Dynamic Programming Approach

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The Dynamic Programming Approach to the Optimal Control of Goursat-Darboux Systems

10.23919/acc.1989.4790470 ◽

1989 ◽

Author(s):

S. A. Belbas

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Programming Approach ◽

Dynamic Programming Approach

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