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A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models

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  • Zhang, Hanwen
  • Dang, Duy-Minh
Abstract
We develop a highly efficient, easy-to-implement, and strictly monotone numerical integration method for Mean-Variance (MV) portfolio optimization. This method proves very efficient in realistic contexts, which involve jump-diffusion dynamics of the underlying controlled processes, discrete rebalancing, and the application of investment constraints, namely no-bankruptcy and leverage.

Suggested Citation

  • Zhang, Hanwen & Dang, Duy-Minh, 2024. "A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 219(C), pages 112-140.
    • Handle: RePEc:eee:matcom:v:219:y:2024:i:c:p:112-140
    DOI: 10.1016/j.matcom.2023.12.011
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    References listed on IDEAS

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