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ArticleStochastic Nonstationary Optimization for Finding Universal Portfolios

Alexei A. Gaivoronski2000

Article2000

Stochastic Nonstationary Optimization for Finding Universal Portfolios

Alexei A. Gaivoronski · Fabio A. Stella

66 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

2011Introduction to Stochastic Programming 1963A Simplified Model for Portfolio Analysis 2010Stochastic Programming 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming 2001Generating Scenario Trees for Multistage Decision Problems 1988Numerical Techniques for Stochastic Optimization 1991Universal Portfolios

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2021Adaptive online portfolio selection with transaction costs 2016Online Portfolio Selection Strategy Based on Combining Experts’ Advice 2003On-line portfolio selection using stochastic programming 2023Asset correlation based deep reinforcement learning for the portfolio selection 2006Efficient algorithms for online convex optimization and their applications 2013Robust median reversion strategy for on-line portfolio selection

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Year2000

Typearticle

Published2000-12-01

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations66

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1023/a:1019271201970

openalex_workW1540619019

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