This project presents an approach for implementing a policy iteration algorithm to solve the Hamilton–Jacobi–Bellman equation arising from the optimal mean–variance asset allocation problem for defined contribution pension plans, as studied by Wang and Forsyth (2008) (https://www.sciencedirect.com/science/article/abs/pii/S0165188909001602).
The repository contains one main file:
Policy_Iteration_Algorithm_Mean_Variance_Asset_Allocation.ipynb– Jupyter notebook containing the main code of the prject and a brief theoretical introduction to the mean-variance asset allocation problem for contribution pension plans in continuous time.