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

Hanwen Zhang and Duy-Minh Dang

Mathematics and Computers in Simulation (MATCOM), 2024, vol. 219, issue C, 112-140

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.

Keywords: Mean-variance; Portfolio optimization; Monotonicity; Numerical integration method; Jump-diffusion; Discrete rebalancing (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:219:y:2024:i:c:p:112-140

DOI: 10.1016/j.matcom.2023.12.011

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