Performance bounds and suboptimal policies for multi-period investment (Foundations and Trends in Optimization): 1

by Yang Wang (Author), Stephen Boyd (Author), Mark T. Mueller (Author), Brendan O'Donoghue (Author)

• New

  Paperback
  2014

  $56.68

  Examines dynamic trading of a portfolio of assets in discrete periods over a finite time horizon, with arbitrary time-varying distribution of asset returns. This book aims 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.