Performance Bounds and Suboptimal Policies for Multi-Period Investment - Foundations and Trends® in Optimization - Stephen Boyd - Libros - now publishers Inc - 9781601986726 - 2014
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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

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

Medios de comunicación Libros     Paperback Book   (Libro con tapa blanda y lomo encolado)
Publicado 2014
ISBN13 9781601986726
Editores now publishers Inc
Páginas 94
Dimensiones 156 × 234 × 5 mm   ·   146 g
Lengua English  

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