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Performance bounds and suboptimal policies for multi-period investment
Examines dynamic trading of a portfolio of assets in discrete periods over a finite time horizon, with arbitrary time-varying distribution of asset returns. The goal is to maximize the total expected revenue from the portfolio, while respecting constraints on the portfolio such as a required termina...
| Autores principales: | , , , |
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| Lenguaje: | eng |
| Publicado: |
Now Publishers
2014
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| Materias: | |
| Acceso en línea: | http://cds.cern.ch/record/2762169 |