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Need to Meet Investment Goals? Track Synthetic Indexes with the SDDP Method
This work presents a novel application of the Stochastic Dual Dynamic Problem (SDDP) to large-scale asset allocation. We construct a model that delivers allocation policies based on how the portfolio performs with respect to user-defined (synthetic) indexes, and implement it in a SDDP open-source pa...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8249440/ https://www.ncbi.nlm.nih.gov/pubmed/34230769 http://dx.doi.org/10.1007/s10614-021-10133-6 |