Continuous-time optimal portfolio model with mean-reverting process

Xing Yu

COMPUTER MODELLING & NEW TECHNOLOGIES 2014 18(5) 226-229

Department of Mathematics & Applied Mathematics Hunan University of humanities, science and technology, Loudi, 417000, P.R. China

This paper studies a continuous-time portfolio optimization problem. It is proposed a simple but powerful approximation approach that is both accurate and computationally efficient for the terminal expectation of the investors with mean-reverting process, which is different from the existing literatures that apply the dynamic programming method. Numerical examples illustrate the computational efficiency and accuracy of our approach when compared with results from Monte Carlo (MC) simulations.