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...

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Detalles Bibliográficos
Autores principales: Boyd, Stephen, Mueller, Mark T, Donoghue, Brendan, Wang, Yang
Lenguaje:eng
Publicado: Now Publishers 2014
Materias:
XX
Acceso en línea:http://cds.cern.ch/record/2762169
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author Boyd, Stephen
Mueller, Mark T
Donoghue, Brendan
Wang, Yang
author_facet Boyd, Stephen
Mueller, Mark T
Donoghue, Brendan
Wang, Yang
author_sort Boyd, Stephen
collection CERN
description 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 terminal portfolio and leverage and risk limits.
id cern-2762169
institution Organización Europea para la Investigación Nuclear
language eng
publishDate 2014
publisher Now Publishers
record_format invenio
spelling cern-27621692021-04-21T16:39:14Zhttp://cds.cern.ch/record/2762169engBoyd, StephenMueller, Mark TDonoghue, BrendanWang, YangPerformance bounds and suboptimal policies for multi-period investmentXXExamines 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 terminal portfolio and leverage and risk limits.Now Publishersoai:cds.cern.ch:27621692014
spellingShingle XX
Boyd, Stephen
Mueller, Mark T
Donoghue, Brendan
Wang, Yang
Performance bounds and suboptimal policies for multi-period investment
title Performance bounds and suboptimal policies for multi-period investment
title_full Performance bounds and suboptimal policies for multi-period investment
title_fullStr Performance bounds and suboptimal policies for multi-period investment
title_full_unstemmed Performance bounds and suboptimal policies for multi-period investment
title_short Performance bounds and suboptimal policies for multi-period investment
title_sort performance bounds and suboptimal policies for multi-period investment
topic XX
url http://cds.cern.ch/record/2762169
work_keys_str_mv AT boydstephen performanceboundsandsuboptimalpoliciesformultiperiodinvestment
AT muellermarkt performanceboundsandsuboptimalpoliciesformultiperiodinvestment
AT donoghuebrendan performanceboundsandsuboptimalpoliciesformultiperiodinvestment
AT wangyang performanceboundsandsuboptimalpoliciesformultiperiodinvestment

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