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Performance Bounds and Suboptimal Policies for Multi-Period Investment - Foundations and Trends® in Optimization
Stephen Boyd
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Performance Bounds and Suboptimal Policies for Multi-Period Investment - Foundations and Trends® in Optimization
Stephen Boyd
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 like a required terminal portfolio and leverage and risk limits.
94 pages
| Medie | Bøger Paperback Bog (Bog med blødt omslag og limet ryg) |
| Udgivet | 2014 |
| ISBN13 | 9781601986726 |
| Forlag | now publishers Inc |
| Antal sider | 94 |
| Mål | 156 × 234 × 5 mm · 146 g |
| Sprog | Engelsk |
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