Self-Consistent Adjoint Policy Iteration for Constrained Dynamic Portfolio Choice
Updated
Updated · arxiv.org · Aug 18
Self-Consistent Adjoint Policy Iteration for Constrained Dynamic Portfolio Choice
1 articles · Updated · arxiv.org · Aug 18
Summary
Researchers have developed a new simulation-based policy iteration method for dynamic portfolio choice with predictable returns and convex constraints.
The approach, called self-consistent adjoint policy iteration, leverages open-loop backpropagation and provides global convergence under an occupation-measure relative-error condition.
This method offers improved performance in high-dimensional, constrained portfolio problems, potentially advancing quantitative finance techniques for managing complex asset portfolios.