Performance Bounds and Suboptimal Policies for Multi-Period Investment - Foundations and Trends® in Optimization - Stephen Boyd - Books - 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

Media Books     Paperback Book   (Book with soft cover and glued back)
Released 2014
ISBN13 9781601986726
Publishers now publishers Inc
Pages 94
Dimensions 156 × 234 × 5 mm   ·   146 g
Language English  
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