Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
dynamic portfolio optimization, multi-period asset allocation, transaction cost, liquidity cost, permanent market impact, least squares Monte Carlo
target-based portfolio optimization, alternative performance measure, multiperiod portfolio optimization, least squares Monte Carlo, two-stage regression
superannuation, Economic Scenarios Generator, SUPA model, Monte Carlo simulation, accumulation, decumulation, Age Pension, retirement income
volatility management, volatility target, realized volatility, multi-period portfolio management, least squares Monte Carlo
stochastic volatility, Inverse Gamma, volatility expansion, closed-form pricing, log-normal, mean-reverting SABR
portfolio allocation, optimal mass transport, HJB, Fokker–Planck, gradient descent
robust portfolio optimization, differential games, HJBI equation, Monte Carlo, GANs
Rough Fractional Stochastic Volatility, Forward Variance Model, Markovian Representation, Volatility Skew, Volterra Integral, Rough Heston, Hybrid Scheme Simulation
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id3395258.pdf
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
This page was processed by aws-apollo4 in 0.720 seconds