Performance Bounds and Suboptimal Policies for Multi-Period Investment by Brendan Donoghue, Stephen Boyd, Mark T. Mueller

Performance Bounds and Suboptimal Policies for Multi-Period Investment

Foundations and Trends(r) in Optimization

Brendan Donoghue, Stephen Boyd, Mark T. Mueller

94 pages missing pub info (editions)

nonfiction mathematics technology informative medium-paced
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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 maxi...

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