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Performance bounds and suboptimal policies for multi-period investment

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Performance Bounds and Suboptimal Policies for Multi-Period Investment - Boyd, Stephen, and Mueller, Mark T., and O'Donoghue, Brendan
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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. The revenue takes into account the gross cash generated in trades, transaction costs, and costs associated with the ...

Performance Bounds and Suboptimal Policies for Multi-Period Investment 2014, now publishers Inc, Hanover

ISBN-13: 9781601986726

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