Better than pre-commitment mean-variance portfolio allocation strategies : a semi-self-financing Hamilton-Jacobi-Bellman equation approach

von Dang, Duy Minh
Veröffentlicht in European journal of operational research (2016)

Adaptive and high-order methods for valuing American options

von Christara, Christina C.
Veröffentlicht in The journal of computational finance (2011)

Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

von Dang, Duy Minh
Veröffentlicht in Applied mathematical finance (-2015)

A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models

von Dang, Duy Minh
Veröffentlicht in Applied mathematical finance (2017)

The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors

von Staden, Pieter M. van
Veröffentlicht in European journal of operational research (2021)

Practical investment consequences of the scalarization parameter formulation in dynamic mean - variance portfolio optimization

von Staden, Pieter M. van
Veröffentlicht in International journal of theoretical and applied finance (2021)

Time-consistent mean-variance portfolio optimization : a numerical impulse control approach

von Staden, Pieter M. van
Veröffentlicht in Insurance / Mathematics & economics (2018)

An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives

von Dang, Duy Minh
Veröffentlicht in The journal of computational finance (2015)