Julian Valentin

University of Stuttgart - Institute for Parallel and Distributed Systems

Universitätsstr. 38

Stuttgart, 70569

Germany

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Scholarly Papers (1)

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Solving High-Dimensional Dynamic Portfolio Choice Models with Hierarchical B-Splines on Sparse Grids

Number of pages: 41 Posted: 17 Jun 2019 Last Revised: 12 Feb 2020
Dirk Pflüger, Peter Schober and Julian Valentin
University of Stuttgart - Institute for Parallel and Distributed Systems, Goethe University Frankfurt - Department of Finance and University of Stuttgart - Institute for Parallel and Distributed Systems
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Abstract:

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curse of dimensionality, dynamic portfolio choice, discrete time dynamic programming, gradient-based optimization, spatially adaptive sparse grids, hierarchical B-splines