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Performance Bounds and Suboptimal Policies for Multi-Period Investment

af Stephen Boyd

indgår i Foundations and Trends (R) in Optimization serien

Performance Bounds and Suboptimal Policies for Multi-Period Investment af Stephen Boyd
Bag om 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 like a required terminal portfolio and leverage and risk limits.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781601986726
  • Indbinding:
  • Paperback
  • Sideantal:
  • 94
  • Udgivet:
  • 1. januar 2014
  • Størrelse:
  • 156x234x5 mm.
  • Vægt:
  • 146 g.
  • 8-11 hverdage.
  • 7. december 2024
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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.

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