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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| Main Authors: | , , , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Norwell, MA
Now Publishers
2014
|
| Series: | Foundations and trends in Optimization
Vol. 1, no. 1 (2014) |
| Online Access: | TUM01 |
| Summary: | 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 |
| Item Description: | Description based on publisher supplied metadata and other sources |
| Physical Description: | 1 online resource (79 pages) |
| ISBN: | 9781601986733 |
Staff View
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Record in the Search Index
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| id | DE-604.BV047886469 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T19:24:35Z |
| indexdate | 2024-07-10T09:24:14Z |
| institution | BVB |
| isbn | 9781601986733 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033268676 |
| oclc_num | 1102386769 |
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| physical | 1 online resource (79 pages) |
| psigel | ebook |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Now Publishers |
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| series | Foundations and trends in Optimization |
| series2 | Foundations and trends in Optimization |
| spelling | Boyd, Stephen P. 1958- Verfasser (DE-588)129723177 aut Performance bounds and suboptimal policies for multi-period investment Stephen Boyd, Mark T. Mueller, Brendan Donoghue, Yang Wang Norwell, MA Now Publishers 2014 1 online resource (79 pages) txt rdacontent c rdamedia cr rdacarrier Foundations and trends in Optimization Vol. 1, no. 1 (2014) Description based on publisher supplied metadata and other sources 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 Mueller, Mark T. Verfasser aut Donoghue, Brendan Verfasser aut Wang, Yang Verfasser aut Erscheint auch als Druck-Ausgabe 978-1-60198-672-6 Foundations and trends in Optimization Vol. 1, no. 1 (2014) (DE-604)BV047879910 1,1 |
| spellingShingle | Boyd, Stephen P. 1958- Mueller, Mark T. Donoghue, Brendan Wang, Yang Performance bounds and suboptimal policies for multi-period investment Foundations and trends in Optimization |
| title | Performance bounds and suboptimal policies for multi-period investment |
| title_auth | Performance bounds and suboptimal policies for multi-period investment |
| title_exact_search | Performance bounds and suboptimal policies for multi-period investment |
| title_exact_search_txtP | Performance bounds and suboptimal policies for multi-period investment |
| title_full | Performance bounds and suboptimal policies for multi-period investment Stephen Boyd, Mark T. Mueller, Brendan Donoghue, Yang Wang |
| title_fullStr | Performance bounds and suboptimal policies for multi-period investment Stephen Boyd, Mark T. Mueller, Brendan Donoghue, Yang Wang |
| title_full_unstemmed | Performance bounds and suboptimal policies for multi-period investment Stephen Boyd, Mark T. Mueller, Brendan Donoghue, Yang Wang |
| title_short | Performance bounds and suboptimal policies for multi-period investment |
| title_sort | performance bounds and suboptimal policies for multi period investment |
| volume_link | (DE-604)BV047879910 |
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