I'm currently working on an stochastic optimal control problem applied to a portfolio asset allocation. In principle, the problem is to maximize the return of a fixed income portfolio under certain VaR constraint.

My question is:

1- How would one go about solving these problems numerically (Monte-Carlo method, etc.)

2- Can some one direct me to a source for an exposition of the material (seeing some code would be awesome!)


closed as too broad by Alex C, LocalVolatility, Bob Jansen Aug 26 '17 at 10:15

Please edit the question to limit it to a specific problem with enough detail to identify an adequate answer. Avoid asking multiple distinct questions at once. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.

  • 1
    $\begingroup$ This is too broad, a good answer could easily be made in a book. $\endgroup$ – Bob Jansen Aug 26 '17 at 10:15
  • 1
    $\begingroup$ Very challenging problem, the answer(s) will depend on the specific model formulation. (Care will have to be taken that the model is solvable in the first place, which is not an easy task in stochastic optimal control). $\endgroup$ – Alex C Aug 27 '17 at 18:22